Shaking the coffee market: A proposal involving cryptocurrency, calendar anomalies and coffee futures contracts
Published:
Dec 11, 2024
Volume:
22
Keywords:
Commodity
Market Efficiency
Financial Market
Abstract
Cryptocurrencies can be negotiated during trading and non-trading days. Such characteristic enables some innovative analysis between contemporary financial resources and the traditional market assets. In this manuscript, we focus on two assets that are related to the same commodity: coffee. Therefore, the main purpose of this paper was to analyze the impact of returns-based information during non-trading days from a coffee-related cryptocurrency (namely: Coffee Coin® - CFCN) on the returns of coffee futures returns after these non-trading days. The dataset comprises historical prices of BM&F Arabica Coffee Futures, collected from Refinitiv Eikon (Thomson Reuters). Based on time series analysis, the main results suggest that CFCN volatility on non-trading days (particularly, holidays) can be used as a relevant indicator related to coffee futures contract. This evidence can also complement the literature on market anomalies, since we address two calendar patterns: the Monday and the Holiday effects.
How to cite
Rodrigo Fernandes Malaquias, Vitor Fonseca Machado Beling Dias. Shaking the coffee market: A proposal involving cryptocurrency, calendar anomalies and coffee futures contracts. Brazilian Review of Finance, v. 22, n. 4, 2024. p. 1-12. DOI: 10.12660/rbfin.v22n4.2024.92451.
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