COMPARATIVE EFFICIENCY OF BRAZILIAN AND FOREIGN COFFEE FUTURE MARKETS TO TRADE BRAZIL COFFEE HARVEST

Authors

  • Alexandre Hatthner Menegário USP/ESALQ
  • Ándré Ricardo Noborikawa Paiva USP/ESALQ
  • Waldemar Antonio da Rocha de Souza Universidade Federal do Amazonas
  • Mariomar de Sales Lima Universidade Federal do Amazonas
  • João Gomes Martines Filho USP/ESALQ

Keywords:

efficient market hypothesis, price discovery, coffee, Brasil, futures markets

Abstract

Researchon the efficient markets hypothesis (EMH) concluded that the prices ofcommodity futures markets are unbiased estimators of spot prices. This studyevaluated the HEM for the coffee futures market in Brazil and abroad, using thetime series co-integration framework of spot and future prices. The resultsindicated that BM&F-BOVESPA was more weak form efficient, compared to theU.S. exchange, ICE. Thus, BM&F-BOVESPA could provide better price discoveryprocess for the Brazilian coffee crop, increasing the marketing and hedgingefficiency.Key-words: efficient market hypothesis (EMH) price discovery; coffee Brazil;futures markets.

Author Biographies

Alexandre Hatthner Menegário, USP/ESALQ

Ándré Ricardo Noborikawa Paiva, USP/ESALQ

Waldemar Antonio da Rocha de Souza, Universidade Federal do Amazonas

Mariomar de Sales Lima, Universidade Federal do Amazonas

João Gomes Martines Filho, USP/ESALQ

PhD emEconomia Agrícola pela Ohio State University

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Published

2014-06-30

How to Cite

Menegário, A. H., Paiva, Ándré R. N., Souza, W. A. da R. de, Lima, M. de S., & Martines Filho, J. G. (2014). COMPARATIVE EFFICIENCY OF BRAZILIAN AND FOREIGN COFFEE FUTURE MARKETS TO TRADE BRAZIL COFFEE HARVEST. Research &Amp; Debate Journal of the Postgraduate Program in Political Economy, 25(1(45). Retrieved from https://revistas.pucsp.br/index.php/rpe/article/view/20362

Issue

Vol. 25 No. 1(45) (2014)

Section

Papers