Acessibilidade / Reportar erro

EFICIÊNCIA NOS MERCADOS FUTUROS AGROPECUÁRIOS BRASILEIROS

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.

Keywords:
Variance ratio; market efficiency; commodities

Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Avenida dos Bandeirantes, 3.900, CEP 14040-900 Ribeirão Preto SP Brasil, Tel.: +55 16 3315-3910 - Ribeirão Preto - SP - Brazil
E-mail: revecap@usp.br