Data/hora: 09/06/2024 11:04:27

Provedor de dados: | 31
País: | United States

Título:

Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja

Cointegration between spot and futures markets: evidence from live cattle markets and soybean

Autores: | Abitante,   Kleber Giovelli.
Data: | 2008-03-30
Ano: | 2008
Palavras-chave: | Cointegration; Futures markets; Soybean; Live cattle.; Agribusiness; C32; Q1; Q11.
Resumo: | 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 &amp; Future Exchange (BM&amp;F) live cattle future market and between spot market and the BM&amp;F and Chicago Board of Trade (CBOT) soybean future market. In addition, an efficiency indicator for the BM&amp;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&amp;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.
Tipo: | Journal Article
Idioma: | Português
Identificador: | http://purl.umn.edu/61272

Relação:

Brazilian Journal of Rural Economy and Sociology (RESR)&gt;Volume 46, Number 1, March 2008

Volume 46

Number 01

Formato: | 22