Um estudo de eficiÃncia de mercado usando sÃries temporais com diferenciaÃÃo fracionÃria: o caso de commodities agrÃcolas

AUTOR(ES)
DATA DE PUBLICAÇÃO

2003

RESUMO

The objective this work is presenting a methodological procedure to examine the hypothesis that a time series was generated by a process with fractionally integration, in order to explain some peculiarity of financial time series that do not fit the classical univariate models. We analyzed the time series of return of future price of agriculture commodities. The data utilized in this investigation was obtained the âBolsa de Mercadorias e Futurosâ (BMF) - Brazil, and the New York stock exchange We explained the performance of the evolution of returns this commodities to take into account that this category of stochastic process has not an unit root, in spite of their low persistence. We estimating ARFIMA their integration order using the regression method of periodogram. We examined the hypothesis that the estimated values of integration order are smaller than unity. Because this fact may be indicated that the process that generated of time series has fractionally integration. The available series were analyzed in overall form and divided in two periods. The conclusions was obtained from the analysis of different models. Amongst the main conclusions, we emphasized that the sugar is an efficient market in these two stock exchange with the exception for second period analyzed in Brazil. The coffee is not always efficient in the stock exchange of New York but is efficient in overall form and in the first period of BMF. The corn is not efficient market in the two in all periods. The cacao is an efficient market in the stock exchange New York in all periods. The wheat is not efficient in the stock exchange of New York

ASSUNTO(S)

economia bolsa de new york exchange of new york commodities agrÃcolas bolsa de mercadorias e futuros (bm&f) agricultural commodities bolsa de mercadorias e futuros (bm&f)

ACESSO AO ARTIGO

Documentos Relacionados