@article{Serrao:170326,
      recid = {170326},
      author = {Serrao, Amilcar},
      title = {The influence of behavior factors in setting the  agricultural futures market prices},
      address = {2014-05-28},
      number = {329-2016-12852},
      pages = {15},
      month = {May},
      year = {2014},
      abstract = {The great challenge for this research work is to show that  the biases of investor behavior are predictable and may  affect the coffee futures market prices. This research work  uses auto-regressive conditional heteroskedasticity (ARCH)  models to analyze results that cause deviations in the  coffee futures market prices. The negative asymmetry  coefficient of EGARCH model and the positive asymmetry  coefficient of TGARCH model show the presence of the  leverage effect where negative shocks have a greater impact  in the volatility of returns in coffee than positive  shocks. The presence of the leverage effect corroborates  the Prospect Theory. 
Model results also show that the  reactions of investors to negative information were  statistically significant in the coffee futures market and  suggest that Behavioral Finance might contribute to the  understanding of the formation of coffee futures market  prices.},
      url = {http://ageconsearch.umn.edu/record/170326},
      doi = {https://doi.org/10.22004/ag.econ.170326},
}