Keywords
beef
corn
investors
market
trend bovino
inversores
maíz
mercado
tendencia Investidores, Mercado, Tendência
corn
investors
market
trend bovino
inversores
maíz
mercado
tendencia Investidores, Mercado, Tendência
How to Cite
Gasparotto Kuhn, J. ., de Oliveira, L. ., & Otávio Jardim Barcellos, J. . (2022). Relationship between commodity prices and change in the behavior of the price of Brazilian beef slaughterhouses: from 2015 to 2021. Revista Colombiana De Investigaciones Agroindustriales, 9(1), 55–65. https://doi.org/10.23850/24220582.4378
Abstract
Demand for Brazilian beef has been growing positively over the years, marked by rising exports, mainly from Asian countries. Given that different links in the chain impact the price, verifying how the price of corn, live cattle and the exchange rate may be related to the attractiveness of acquiring slaughterhouse shares, impacting prices. The increase in demand for beef, also as a result of covid-19, may be raising market values of Brazilian beef slaughterhouses. Given the interest in verifying these influences and predicting the behavior and volatility of prices quoted in shares, the present study aims to analyze the behavior and prices of shares of publicly traded meatpacking companies operating in Brazil, JBS (JBSS3), Marfrig (MFRG3) and Minerva (BEEF3) in relation to the dollar-real exchange rate (USD-BRL) and commodity prices: corn (CCMM3) and live cattle (BGIF3). The historical series analyzed from January 2015 to September 2021 were obtained from Brasil Bolsa Balcão, totaling 9,768 observations. Econometric tests and correlation analysis were used to verify behaviors. The results of the Augmented Dickey-Fuller test were higher than the critical values, indicating that the series are non-stationary due to the existing trend. Correlations with BGIF3, CCMM3 and USD-BRL were strong positive for MFRG3 and JBSS3. For BEEF3 there was no correlation. It is concluded that the trend is towards a rise in the prices of stock assets with a significant increase observed in 2019, remaining in 2020 and 2021 in relation to 2015, denoting the high sensitivity to market effects.
References
Associação Brasileira de Importadores e Exportadores de Carne [ABIEC]. (2020). Beef Report: Perfil da Pecuária no Brasil [Bovine Bulletin: Profile of Livestock in Brazil]. São Paulo, 50pp. http://abiec.com.br/publicacoes/beef-report-2020/
Brasil Bolsa Balcão. (2017). Por Dentro da B3: Guia Prático de uma das Maiores Bolsas de Valores e Derivativos do Mundo. B3 Educação. Contultado el 7 de junho de 2022. https://www.b3.com.br/lumis/portal/file/fileDownload.jsp?fileId=8AE490CA6EF8051B016EFF8D43BD2064
Bina, J. D., Schroeder, Ted C. & Tonsor, G. T. (2021). Conditional feeder cattle hedge ratios: Cross hedging with fluctuating corn prices. Journal of Commodity Markets, p. 100-193. https://doi.org/10.1016/j.jcomm.2021.100193
Box, G. E. P. & Jenkins, G. M. (1976). Time series analysis: forecasting and control. San Francisco: Holden Day, 575p. http://garfield.library.upenn.edu/classics1989/A1989AV48500001.pdf
Bragagnolo, G. P. & Sampaio, J. O. (2020). Pecuária bovina no Brasil e disfuncionalidades do mercado financeiro. [Dissertação. FGV Mestrado Profissional Escola de Economia de São Paulo, da Fundação Getulio Vargas – EESP –FGV]. https://hdl.handle.net/10438/30009
Bueno do Santos, N., Dallemole, D. & Pires M. J. R. (2017). Análise da transmissão de preços nos mercados de boi gordo, milho e soja de Mato Grosso. Economia & Região, 5 (1), 7-21. https://doi.org/10.5433/2317-627X.2017v5n2p7
Carvalho, M. L. P. & Felema, J. (2022). Projeção do preço da arroba do boi gordo no estado de São Paulo utilizando modelos lineares dinâmicos. [ Projection of the arroba price of live cattle in the state of São Paulo using dynamic linear models]. Revista de Economia e Sociologia Rural, v. 60, (spe). https://doi.org/10.1590/1806-9479.2021.249166
Cheng, I.-H. & Xiong, W. (2014). Financialization of commodity markets. Annual Rev. Financ. Economics, 6. p. 419-441. https://doi.org/10.1146/annurev-financial-110613-034432
Decotelli, C., Schouchana, F. & Sheng, H. H. (2013). Gestão de riscos no agronegócio. São Paulo. Publicações FGV Management. ISBN: 9788522514304
E Silva Pontes, T. & Fernandes M. (2017). Precificação de opções sobre contratos futuros de boi gordo na BM&FBOVESPA. [Pricing of options on live cattle futures contracts on the BM&FBOVESPA]. Economía Aplicada, 21 (4), 737-760. https://doi.org/10.11606/ea140986
Hu, C. & Xiong, W. (2013). The informational role of commodity futures prices. Apres le Deluge: Finance and the Common Good after the Crisis. University of Chicago Press. https://www.eia.gov/finance/markets/reports_presentations/WXInformationCommodity.pdf
Investment Strategy Group (“ISG”) in the Consumer and Investment Management Division of Goldman Sachs. (2020). SARS-coronavirus-2/COVID-19: an update on testing, therapies, vaccines, and the healthcare system. 1-36. https://www.goldmansachs.com/insights/talks-at-gs/sharmin-mossavar-rahmani-f/deck.pdf
JBS. (2019). Management Report 2018. https://jbs.com.br/wp-content/uploads/2019/11/JBS_RAS2018_book_EN.pdf
Lovric, M. (2011). Behavioral Finance and Agent-Based Artificial Markets. [Doctoral dissertation Erasmus University Rotterdam]. https://repub.eur.nl/pub/22814/EPS2011229F&A9789058922588.pdf
Marfrig Global Foods. (2019). Management Report 2018. https://ri.marfrig.com.br/informacoes-financeiras/relatorios-anuais/
Motta, M. W. (2017). Derivativos de agronegócios: gestão de riscos de mercado. 2 ed. Saint Paul Editora. ISBN 8580041236
Minerva Foods. (2019). Earnings Release: 4Q18 and 2018 highlights. https://ri.minervafoods.com/en/quarterly-earnings-release/
Nunes, M. S., Costa Jr., N. C. A. & Seabra, F. (2003). Co-integração e causalidade entre variáveis macroeconômicas, “risco Brasil” e retornos no mercado de ações brasileiro. Revista de Economia e Administração, 2, (3), 26-42. http://www.spell.org.br/documentos/ver/25640/co-integracao-e-causalidade-entrevariaveis-macroeconomicas-----risco-brasil----e-retornos-no-mercado-de-acoes-brasileiro/i/pt-br
Organización de las Naciones Unidas para la Alimentación y la Agricultura [FAO]. (2020). FAOSTAT: Crops and livestock products. Global data for 2020. http://www.fao.org/faostat/en/#data/RL
Santos, J.D. dos, Leite, L., Vaz, J. A. dos S., Gasques, A. C. F. & Roder, C. (2017). Análise da variação de preço do boi gordo no mercado futuro externo. Revista Produção Industrial & Serviços, 4 (2), 147-158. https://periodicos.uem.br/ojs/index.php/rev_prod/article/view/52384
Silva, J. P., de Oliveira Neto, O. J. & Figueiredo, R. S. (2019). Preços Agrícolas e Retornos das Ações de Empresas do Agronegócio Brasileiro. Revista Eletrônica de Gestão e Serviços, 10 (2). https://doi.org/10.15603/2177-7284/regs.v10n2p2827-2850
Souza, R. da S. & Fry-Mckibbin, R. (2021). Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market. International Review of Economics & Finance, 76, 781-800. https://doi.org/10.1016/j.iref.2021.07.008
Tversky, A. & Kahneman, D. (1986). Rational choice and the Framing of Decisions. Journal of Business, 59 (4), S251-S278. http://www.jstor.org/stable/2352759
Vieira, E. S. S. (2017). Defesa Agropecuária e Inspeção de Produtos de Origem Animal: uma breve reflexão sobre a Operação Carne Fraca e possíveis contribuições ao aprimoramento dos instrumentos normativos aplicáveis ao setor. Brasília: Senado Federal, Consultoria Legislativa. 19830645. http://www2.senado.leg.br/bdsf/handle/id/529043
Wedekin, I., Pinazza, L. A., Lemos, F. K. & Vivo, V. (2017). Economia da pecuária de corte: fundamentos e ciclo de preços. São Paulo: Wedekin Consultores, 180.
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Downloads
Download data is not yet available.
