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Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data
[Estudio de la eficiencia y la transmisión de información para mercados de futuros agrícolas: un análisis comparativo entre Buenos Aires y Chicago utilizando datos mensuales y diarios]

Author

Listed:
  • Jeremías Lachman
  • Pablo Jack

Abstract

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data

Suggested Citation

  • Jeremías Lachman & Pablo Jack, 2017. "Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data [Estudio de la eficiencia y l," Estudios Economicos, Universidad Nacional del Sur, Departamento de Economia, vol. 34(69), pages 3-23, july-dece.
    • Handle: RePEc:uns:esteco:v:34:y:2017:i:69:p:3-23
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    File URL: http://revistas.uns.edu.ar/ee/article/view/706/385
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    Cited by:

    1. Leonardo Hernán Talero-Sarmiento & Henry Lamos-Díaz & Edwin Alberto Garavito-Hernández, 2019. "Evaluación de la hipótesis de eficiencia débil y análisis de causalidad en las centrales de abastos de Colombia," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 38(67), pages 35-69, February.

    More about this item

    Keywords

    hipótesis de mercados eficientes; modelo de vectores de corrección de error; finanzas agrícolas;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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