Anomalias de calendário, regionalidade e stablecoins do agronegócio: uma análise da volatilidade dos retornos relacionados ao café.

Abstract

Context: Agribusiness is a key sector of the Brazilian economy, with coffee being one of its main commodities. Brazil is the world’s largest coffee producer, and the state of Minas Gerais (MG) leads national production, particularly in the South/Southwest and Triângulo Mineiro/Alto Paranaíba (TMAP) regions. Producers in these areas face common challenges such as marketing difficulties, lack of technical assistance, and limited understanding of financial market dynamics. Meanwhile, the expansion of cryptocurrencies, especially commodity-backed stablecoins, has created new investment opportunities while introducing additional risks and volatility. In this context, understanding the relationship between crypto- assets and the traditional coffee market can support farmers and investors in decision-making processes. Objective: This thesis aimed to identify the occurrence of calendar anomalies (January, Monday, and holiday effects) in the returns and volatility of coffee futures contracts, to analyze the impact of Coffee Coin® trading during non-trading days on traditional markets, and to compare the volatility of agribusiness stablecoins with other cryptocurrencies. Method: The research, structured in three articles, used data from 2004 to 2025 provided by Thomson Reuters for coffee futures contracts traded on the Brazilian stock exchange (B3). Data for the Coffee Coin® and CibraMAP stablecoins were collected from the Foxbit platform, while Bitcoin and Tether data were obtained from CoinMarketCap. Hybrid GARCH-family models were employed to identify volatility patterns and calendar anomalies. Results: The findings revealed that coffee futures returns exhibit calendar effects, particularly during January and holidays. Furthermore, Coffee Coin® volatility during holidays positively affected coffee futures returns on the B3. Lastly, both Coffee Coin® and CibraMAP showed higher conditional volatility compared to traditional cryptocurrencies. Adherence to the area of concentration and research line: The study integrates regional and financial aspects by addressing coffee production in MG’s South/Southwest and TMAP regions and providing analytical insights into volatility and price behavior. These findings can assist local producers and managers in developing market strategies and risk management practices, aligning with the concentration area of Regionality and Management and the research line in Finance. Impact and innovative contribution: This research is innovative in applying calendar anomalies—traditionally examined in stock markets—to the coffee market and in analyzing the effect of stablecoins on agricultural commodities trading. It also demonstrates that Brazilian

stablecoins may display greater volatility than traditional cryptocurrencies, providing relevant insights for investors and financial policymakers. Economic, social, and regional impact: The study strengthens the coffee production chain in MG by offering information that improves production planning, profitability, and local economic and social development. Regional implications: The results support coffee producers in Minas Gerais in price forecasting and risk management, reinforcing the state’s leading role in Brazilian coffee production. Sustainable Development Goals addressed: This research aligns with SDG 10 (Reduced Inequalities) by promoting the economic inclusion of rural producers, and with SDG 2 (Zero Hunger and Sustainable Agriculture) by providing information that mitigates price volatility and enhances food security.