Impacto de la introducción del contrato futuro del maíz amarillo en la volatilidad del precio spot:: evidencia del MexDer

• Autores: Osmar Hazael Zavaleta Vázquez
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 65, Nº. 2, 2020
• Idioma: español
• Títulos paralelos:
  • Impact of the Introduction of the Yellow Corn Futures Contract on Spot Price Volatility:: Evidence from MexDer
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En Octubre del 2012 se introdujo el Futuro del Maíz Amarillo en el Mercado Mexicano de Derivados. Las autoridades del Sistema Financiero Mexicano esperan que: a) sea un instrumento de cobertura más apropiado para los productores mexicanos, dado que se opera en pesos y cada contrato es por 25 toneladas; b) su introducción contribuya en la disminución de la volatilidad en el mercado físico del maíz. Mediante el uso de estructuras GARCH, los resultados proporcionan evidencia robusta para afirmar que hubo una disminución en la volatilidad del precio físico del maíz amarillo, una vez que el contrato futuro fue introducido

  • English

    In October of 2012 the authorities of the Mexican Derivatives Exchange introduced the Yellow Corn Futures Contract in order to provide a more flexible mechanism of hedging to Mexican producers, given that this contract will be traded in Mexican Pesos and will be of 25 metric tons. On the other hand, it is also expected that this futures contract to contribute to volatility reduction of yellow corn in the spot market. Employing GARCH models, robust evidence is found to express that once the Futures Contract started operating the price volatility of this grain, in the spot market, was reduced.

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