LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS

ABSTRACT Objective: The present study estimates the liquidity cost of the corn future contract traded on B3 (formerly BMF Model of Thompson & Waller (1987) model of Choi, Salandro & Shastri (1988);Model of Chu, Ding & Pyun (1996) and the model of Wang, Yau & Baptiste (1997). Findings: The liquidity cost is lower in CME’s future corn market than in B3, and the estimated cost of liquidity in CME’s future corn market is 2 to 3 cents (in R$/60-kgbag) while at BM & F the cost is 6 to 16 cents (in R$/60-kgbag).