Efficiency in Brazilian Agricultural Futures Markets
DOI:
https://doi.org/10.1590/1413-8050/ea91170Palabras clave:
Variance ratio, market efficiency, commodities.Resumen
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.Descargas
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2015-06-19
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Efficiency in Brazilian Agricultural Futures Markets. (2015). Economia Aplicada, 19(2), 349-368. https://doi.org/10.1590/1413-8050/ea91170