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Análise Da Eficiência Dos Mercados Futuros De Commodities Agrícolas Brasileiras Utilizando Co-Integração

Author

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  • Melo, Andre De Souza
  • Lima, Ricardo Chaves
  • Moraes, Andre Steffens

Abstract

Este trabalho testa a presença de eficiência nos mercados futuros de boi gordo, açúcar cristal, milho e café negociados na Bolsa de Mercadorias de Futuros (BM&F), utilizando técnicas de cointegração. A eficiência de mercado é resultante de uma hipótese conjunta: dos preços futuros correntes serem preditores não viesados dos preços a vista no futuro e do prêmio ao risco ser nulo. Entretanto, a presença de prêmio ao risco é criada quando os agentes de mercado (investidores e produtores) demandam contratos futuros, visto que estes agentes são avessos ao risco. Com isso, objetiva-se analisar a existência de eficiência de mercado na presença de prêmio ao risco. O principal resultado é que os mercados de boi gordo, açúcar e milho se mostraram eficientes, ocorrendo convergência de longo prazo mesmo com presença de prêmio ao risco.

Suggested Citation

  • Melo, Andre De Souza & Lima, Ricardo Chaves & Moraes, Andre Steffens, 2006. "Análise Da Eficiência Dos Mercados Futuros De Commodities Agrícolas Brasileiras Utilizando Co-Integração," 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 147885, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
    • Handle: RePEc:ags:sobr06:147885
    DOI: 10.22004/ag.econ.147885
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    Keywords

    Agribusiness; Agricultural and Food Policy;

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