%0 Journal Article
%T EFICI¨ºNCIA DOS MERCADOS FUTUROS DE COMMODITIES AGR¨ªCOLAS APLICANDO-SE O TESTE DE COINTEGRA  O./ EFFICIENCY OF THE AGRICULTURAL COMMODITY FUTURES MARKET BY APPLYING THE COINTEGRATION TEST.
%A Jorge Harry Harzer
%A Carol Thiago Costa
%A Wesley Vieira da Silva
%A Alceu Souza
%J Revista de Administra£¿£¿o da UFSM
%D 2012
%I Universidade Federal de Santa Maria
%X Este artigo tem o objetivo de testar a forma fraca de efici¨ºncia do mercado futuro brasileiro dacommoditie agr¨ªcola caf¨¦ ar¨¢bica, usando a t¨¦cnica de cointegra  o a fim de verificar se os pre os futuroscorrentes s o estimadores n o viesados dos pre os ¨¤ vista esperados para o futuro. Para isso, utiliza ass¨¦ries hist¨®ricas de janeiro de 2005 a maio de 2011 dos pre os futuros, que foram coletados na Bolsa deMercadorias e Futuros ¨C BM&F, e os pre os ¨¤ vista calculados pelo CEPEA/ESALQ/USP. As m¨¦tricas utilizadass o os testes ADF de Dickey e Fuller para detectar a presen a de raiz unit¨¢ria e o teste de cointegra  ode Johansen para verificar a exist¨ºncia de um relacionamento de longo prazo. Os resultados indicaram an o estacionariedade das s¨¦ries de pre os e a presen a de cointegra  o. Por¨¦m, o teste dos parametros¦Á = 0 e ¦Â = 1 da regress o que comprovam a efici¨ºncia fraca e n o vi¨¦s encontraram ind¨ªcios estat¨ªsticosde n o efici¨ºncia de mercado, bem como da presen a de um vi¨¦s indicando a exist¨ºncia de um pr¨ºmioassociado ao risco./ This article aims at testing the weak form of efficiency of the commodity futures market in Arabicacoffee farming using the cointegration technique in order to check if the current futures prices arebiased estimators of spot prices expected for the future. Thereto it uses the futures prices time seriesfrom 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 usedto detect the presence of unit root and Johansen¡¯s cointegration test is used to verify the existence ofa long term relationship. The results indicated the non-stationarity of price series besides the presenceof cointegration. However, regression parameters testing ¦Á = 0 e ¦Â = 1 proves that weak efficiency andnon-biased found statistical evidence of non-market efficiency. Moreover, the presence of a bias indicatingthe existence of a premium associated with risk was also found.
%K Commoditie Agr¨ªcola
%K Mercado Futuro
%K Efici¨ºncia de Mercado
%K Cointegra  o/Agricultural commodity
%K Futures Market
%K Market Efficiency
%K Cointegration
%U http://cascavel.ufsm.br/revistas/ojs-2.2.2/index.php/reaufsm/article/view/5432/pdf