Resumo

ZAVALETA VAZQUEZ, Osmar Hazael. Impact of the introduction of the yellow corn futures contract on spot price volatility: Evidence from MexDer. Contad. Adm [online]. 2020, vol.65, n.2, 00006.  Epub 09-Dez-2020. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2020.1900.

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.

Palavras-chave : G14; G15; G18; G23; G28; G32; Futures contracts; Yellow corn; Volatility; ARCH and GARCH models; Time series analysis.

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