| 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... |
