Efficiency of the agricultural commodity futures market by applying the cointegration test

Authors

  • Jorge Harry Harzer Centro Universitário Católica de Santa Catarina; Pontifícia Universidade Católica do Paraná
  • Carol Thiago Costa Pontifícia Universidade Católica do Paraná
  • Wesley Vieira da Silva Pontifícia Universidade Católica do Paraná
  • Alceu Souza Pontifícia Universidade Católica do Paraná

DOI:

https://doi.org/10.5902/198346595432

Abstract

This article aims at testing the weak form of efficiency of the commodity futures market in Arabica coffee farming using the cointegration technique in order to check if the current futures prices are biased estimators of spot prices expected for the future. Thereto it uses the futures prices time series from January 2005 to May 2011, which were collected in the Commodities and Futures Exchange - BM & F and spot prices, calculated by CEPEA / ESALQ / USP. Dickey and Fuller’s ADF tests are the metrics used to detect the presence of unit root and Johansen’s cointegration test is used to verify the existence of a long term relationship. The results indicated the non-stationarity of price series besides the presence of cointegration. However, regression parameters testing α = 0 e β = 1 proves that weak efficiency and non-biased found statistical evidence of non-market efficiency. Moreover, the presence of a bias indicating the existence of a premium associated with risk was also found.

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Author Biographies

Jorge Harry Harzer, Centro Universitário Católica de Santa Catarina; Pontifícia Universidade Católica do Paraná

Professor e Coordenador do Curso de Administração da Católica de Santa Catarina;

Doutorando em Administração pela Pontifícia Universidade Católica do Paraná.

Carol Thiago Costa, Pontifícia Universidade Católica do Paraná

Mestre em Administração pela Pontifícia Universidade Católica do Paraná.

Wesley Vieira da Silva, Pontifícia Universidade Católica do Paraná

Professor do Programa de Pós-Graduação em Administração da Pontifícia Universidade Católica do Paraná.

Doutor em Engenharia de Produção pela Universidade Federal de Santa Catarina, 2002.

Alceu Souza, Pontifícia Universidade Católica do Paraná

Professor do Programa de Pós-Graduação em Administração da Pontifícia Universidade Católica do Paraná.

Doutor em Administração de Empresas pela EASP, FGV São Paulo, 1996.

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Published

2012-08-23

How to Cite

Harzer, J. H., Costa, C. T., da Silva, W. V., & Souza, A. (2012). Efficiency of the agricultural commodity futures market by applying the cointegration test. Revista De Administração Da UFSM, 5(2), 336–353. https://doi.org/10.5902/198346595432

Issue

Vol. 5 No. 2 (2012): Mai-Ago

Section

Articles

License

Authors of articles published by ReA/UFSM retain the copyright of their works, licensing them under the Creative Commons (CC-BY 4.0), which allows articles to be reused and distributed without restriction, provided that the original work is properly cited.

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