Market efficiency: empirical evidence of spot and future prices of catlle

Authors

  • Waldemiro Alcântara Silva Neto Universidade Federal de Goias - UFG
    • Gilberto Joaquim Fraga Universidade Estadual de Maringá
      • Pedro Valentin Marques Universidade de São Paulo

        DOI:

        https://doi.org/10.5380/re.v36i3.14287

        Keywords:

        market efficiency, risk premium, co-integration, beef cattle

        Abstract

        This article uses the hypothesis of efficiency market between spot pricesof cattle to relevant places in Brazil: Presidente Prudente, Campo Grande and Goiania,and future price BM&F. The co-integration procedure was adopted to test theefficiency of the market without implying the absence of risk premium. The resultssuggest that it is not possible to reject the hypothesis that the market is efficient in theplaces and they did not reject the hypothesis of the existence of risk premium. Thus, thefutures market can be important in the process of discovery price by involved agents.

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        Author Biographies

        Waldemiro Alcântara Silva Neto, Universidade Federal de Goias - UFG

        Professor Assistente - FACE/UFG 

        Gilberto Joaquim Fraga, Universidade Estadual de Maringá

        Departamento de Economia

         

        Pedro Valentin Marques, Universidade de São Paulo

        Departamento de Economia

        Mercados Futuros Agropecuários

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        How to Cite

        Silva Neto, W. A., Fraga, G. J., & Marques, P. V. (2010). Market efficiency: empirical evidence of spot and future prices of catlle. Revista De Economia, 36(3). https://doi.org/10.5380/re.v36i3.14287

        Issue

        Vol. 36 No. 3 (2010)

        Section

        Artigos

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