EFFICIENCY OF THE BRAZILIAN COFFEE FUTURES MARKET IN THE PERIOD 1992-1998+
Marcelo A. Arbex, Virginia D. Carvalho
Abstract
The basic function of futures markets is to give agents who negotiate a certain commodity a hedge or protection against future adverse price variations. Prices in the futures market are efficient when they reflect all the relevant information available up to the present date, which then enables the trader to estimate the best price attainable at the contract's deadline. This paper's objective is to test the efficiency hypothesis for the Brazilian coffee futures market from March 1992 to May 1998. Its final results suggest that cash and future prices are cointegrated and that futures prices are unbiased estimators of cash prices, given that the co-integration parameter is equal to the unit. The results also suggest that the coffee futures market properly carries out its open price function, and it can therefore facilitate and optimize the agents' decisions regarding production, commercialization, and storage costs. We concluded that that market is weakly efficient.
Keywords
Referências
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