Eficiência no mercado futuro de commodity: evidências empiricas
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Data
2012-03
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Resumo
This paper verifies the existence of a long-run relationship
and tests the hypothesis of market efficiency between the
spot prices and BM&F future price of soybean. The strategy
adopted to achieve the objectives was to test co-integration
and mechanism of error correction to test the market
efficiency without implying the absence of the risk premium.
The results suggest that is not possible to accept the
hypothesis that the market is efficient in the short-term price
formation in the important regions, however, there is a longrun
relationship between prices.
Descrição
Palavras-chave
Eficiência de mercado, Preço futuro, Cointegração, Soja, Market efficiency, Future price, Co-integration, Soy
Citação
FRAGA, Gilberto Joaquim; SILVA NETO, Waldemiro Alcântara da. Eficiência no mercado futuro de commodity: evidências empiricas. Revista Econômica do Nordeste, v. 42, n. 1, p. 125-137, jan./mar. 2011.