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 BM&FBovespa) and compare it to the CME corn future contract, through five implicit bid-ask spread measures. Originality/value: The market microstructure approach, with its focus on high frequency data, reveals characteristics of the emerging agricultural markets (also known as thin markets), which were not evident in studies with daily frequency data. Design/methodology/approach: To analyze the performance of five cost estimators, the data used in our analysis consists of in...