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Les marchés mondiaux des produits agricoles sont-ils efficients ?

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  • Catherine Araujo Bonjean

Abstract

[fre] L'objectif de ce travail est de tester à l'aide des instruments nouveaux de l'analyse financière l'hypothèse de marché efficient associée aux modèles de marche aléatoire et de martingale, pour un échantillon de produits agricoles. Les tests mis en œuvre visent à détecter la présence de mémoire longue au sein des séries de prix mondiaux, considérée comme un indicateur d'imperfection des marchés, et à identifier la nature stochastique ou déterministe des processus sous-jacents. Les résultats montrent que la majorité des prix étudiés suit des processus non linéaires stochastiques ou déterministes à mémoire longue incompatibles avec le modèle de marche aléatoire ou de martingale. Il n'existe pas cependant de possibilité de gain systématique par arbitrage sur ces marchés, bien que les prix qui apparaissent engendrés par des processus chaotiques soient potentiellement prédictibles à court terme. [eng] Are agricultural commodity markets efficient ? . The aim of this paper is to test the random walk and martingale versions of the efficient market hypothesis using tools deriving from financial markets analysis. Tests are performed for a sample of agricultural products in order to detect long term memory in world prices, which is considered as an indicator of market imperfection, and to distinguish between stochastic and deterministic processes. Results show that most of the series are long memory processes generated by non-linear stochastic or déterministe systems. Although long memory does not imply the existence of profitable trading rules, for chaotic processes price changes are potentially predictable in the short run.

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  • Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
    • Handle: RePEc:prs:recoru:ecoru_0013-0559_1998_num_243_1_4987
    DOI: 10.3406/ecoru.1998.4987
    Note: DOI:10.3406/ecoru.1998.4987
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    1. Catherine Araujo-Bonjean & Jean-François Brun, 2001. "Les politiques de stabilisation des prix du coton en Afrique de la zone franc sont-elles condamnées?," Économie rurale, Programme National Persée, vol. 266(1), pages 80-90.
    2. Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
    3. Michel Griffon, 2000. "Les pays en développement et l'économie internationale dans la revue Economie rurale de 1949 à 1999," Économie rurale, Programme National Persée, vol. 255(1), pages 169-184.

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