Herding behavior of speculators and hedgers in future market of commodities

OBJETIVO Este artigo verifica a presenca do comportamento de efeito manada de especuladores e hedgers no mercado future de commodities. Contratos futuros de cinco commodities (algodao, cafe, trigo, soja e acucar) dos EUA e retornos do mercado a vista do Brasil sao considerados. METODOLOGIA Este artigo utiliza o cross sectional absolute deviation (CSAD) de Chang et al. (2000) para a estimacao do efeito manada e aplica a regressao quantilica condicional de Koenker (2005). RESULTADOS E CONCLUSOES Como resultado, verifica-se a presenca de efeito manada considerando somente estrategias de razao de hedge. Por outro lado, este artigo nao encontra o comportamento de manada quando somente especuladores sao observados. IMPLICACOES PRATICAS Aspectos do mercado futuro, tais como a influencia de instituicoes financeiras em long hedgers e estrategias de feedback positivo similares de short hedgers, denotam a importância de considerar a analise de manada para estrategias de hedge nesse mercado. PALAVRAS-CHAVE Comportamento de Manada, Especuladores e Hedgers, Mercado Futuro   OBJECTIVE This paper verifies the presence of herding behavior of speculators and hedgers in commodities future market. U.S. Future contracts of five commodities (Cotton, Coffee, Wheat, Soybean and Sugar) and Bra-zilian spot market returns are considered. METHODOLOGY This paper uses the cross sectional absolute deviation (CSAD) of Chang et al. (2000) for herding effect estimator and applies the conditional quantile regression of Koenker (2005). RESULTS AND CONCLUSIONS As results, it verifies the herding presence considering only hedge ratio strategies in future market. On the other hand, this paper does not find herding behavior when only the speculators are observed. PRACTICAL IMPLICATIONS Aspects of future market, such as the influence of the financial institutions in long hedgers and similar positive feedback strategies of short hedgers, denote the importance of considering herding analyzes for hedge strategies in this market. KEYWORDS Herding Behavior, Speculators and Hedgers, Future Market