The liquidity cost is a variable that is not directly known by investors, being as important as other transaction costs involved in futures markets. Its relevance is related to the facts that it may result in the return reduction expected by investors, cause loss of potential market participants, interfere in the price that may not serve more as an information communication role, be essential to the decision of using a prospective contract, besides being a fundamental variable for the opportunities cost of hedgers and speculators. The purpose of the study was to analyze the liquidity cost concerning to the futures contract of BM&FBosvespa's fat cattle, in the period between September 2010 and February 2013, utilizing intraday data, converting 355,311 registers of trades accomplished. For this, it was used models from Roll (1984), Chu, Ding and Pyun (1996), Thompson and Waller (1987) and Wang, Yau and Baptiste (1997), all largely discussed in the international literature. The results show that although the methodologies adopted are different, three of four methods showed high correlations among them. The contracts analyzed exhibited an average liquidity cost of R$ 0.13 per arroba, being relatively low when compared to the financial volume for each contract. Regarding to determinants, the maturity time had some impacts on results, because contracts over 80 business days until maturity and the ones till five business days had higher liquidity costs. Contracts with less trades accomplished, contracts negotiated and volume were the ones that had the highest liquidity cost. The contribution of this study is to generate fundamental information for market professionals, producers and market agents that take their decisions in uncertain environments seeking to measure the cost of a variable which is not directly presented and which is as important as the other costs involved in the futures contract.
BM & FBovespa; Futures contract; Fat cattle; Liquidity cost; Market microstructure
