Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja
No hay miniatura disponible
Fecha
Autores
Título de la revista
ISSN de la revista
Título del volumen
Editor
Resumen
Descripción
One of the measures of future markets’ efficiency is its linkage
with the spot market. The objective of this paper is to verify the existence
of a statistical linkage between spot market and the Brazilian Mercantile
& Future Exchange (BM&F) live cattle future market and between spot
market and the BM&F and Chicago Board of Trade (CBOT) soybean
future market. In addition, an efficiency indicator for the BM&F live
cattle future market was estimated. With regard to live cattle, the daily
time series used was price of the future contracts with maturity month
between January/05 and November/05 and for soybean, the price of
the future contracts used was with maturity between March 2005 until
September 2005 and November 2005. Concerning live cattle, evidences
of co-integration on contracts with maturity month on March, April,
September, October and November of 2005 were found. As for the BM&F
soybean future contract, co-integration was detected for contracts with
maturity at April, May and November, 2005. Co-integration evidence
was identified for the CBOT soybean future with maturity at January,
March, September and November of 2005. The efficiency indicator for
live cattle future contract was higher, indicating that this market may be
useful for price discovery of live cattle.