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.

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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