Análise da eficiência do mercado futuro brasileiro de boi gordo usando co-integração

André Steffens Moraes, Ricardo Chaves Lima and André de Souza Melo

Revista de Economia e Sociologia Rural (RESR), 2009, vol. 47, issue 3

Abstract: The hypothesis that future prices are unbiased predictors of spot prices is a joint hypothesis that markets are efficient and risk premium are absent. However, the unbiasedness hypothesis may be rejected in the presence of a risk premium, even when the market is efficient. The objective of this article is to test market efficiency for the Brazilian live cattle while permitting the presence of risk premium, using cointegration techniques. Results show that the future markets for live cattle are efficient and unbiasedness in the long run, and does not depend of the presence of a risk premium.

Keywords: Livestock; Production/Industries (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ags:revi24:341704

DOI: 10.22004/ag.econ.341704

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