Efficiency in Brazilian Agricultural Futures Markets

Authors

  • Marcos Aurelio Rodrigues Tribunal de Justiça do Estado do Paraná. Curitiba
  • João Gomes Martines Filho Universidade de São Paulo. Escola Superior de Agricultura “Luiz de Queiroz”

DOI:

https://doi.org/10.1590/1413-8050/ea91170

Keywords:

Variance ratio, market efficiency, commodities.

Abstract

We aim to test the random walk hypothesis to agricultural future contracts traded at the Brazilian Board of Trade (BM&FBOVESPA). Refute this hypothesis means possible predictability, therefore these markets are not weakly efficient. We used tests of serial correlation and variance ratio to verify them. Our results do not reject the random walk hypothesis in coffee and soybeans markets but contrary evidences were found for live cattle, corn and ethanol markets.

Downloads

Download data is not yet available.

Downloads

Published

2015-06-19

Issue

Vol. 19 No. 2 (2015)

Section

Papers

How to Cite

Rodrigues, M. A., & Martines Filho, J. G. (2015). Efficiency in Brazilian Agricultural Futures Markets. Economia Aplicada, 19(2), 349-368. https://doi.org/10.1590/1413-8050/ea91170