Les marchés mondiaux des produits agricoles sont-ils efficients ?

Catherine Araujo Bonjean

Économie rurale, 1998, vol. 243

Abstract: The aim of this paper is to test the random walk and martingale versions of the efficient market hypothesis using tools deriving from financial markets analysis. Tests are performed for a sample of agricultural products in order to detect long term memory in world prices, which is considered as an indicator of market imperfection, and to distinguish between stochastic and deterministic processes. Results show that most of the series are long memory processes generated by non-linear stochastic or déterministe systems. Although long memory does not imply the existence of profitable trading rules, for chaotic processes price changes are potentially predictable in the short run.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ersfer:354399

DOI: 10.22004/ag.econ.354399

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