Formações de Clusters de Eficiência nos Mercados Futuros Agropecuários Mundiais de Soja

We analyzed the efficiency and the presence of clusters in the soybean complex future contracts (soybean, soybean meal and soybean oil) traded in the following future markets: Argentina (MTB), Brazil (BVMF), China (DCE), India (NCD), Japan (TKT), US (CBT) and South-Africa (SAF). Based on the metrics obtained by Euclidian distances of variance ratios, similar dependencies were found for all markets. The results suggest informational efficiency spread. Therefore, agents shall maintain perceptions over several international markets, given the interdependence found for prices in separate future markets.


Subject(s):
Issue Date:
Aug 31 2017
Publication Type:
Journal Article
ISSN:
0103-2003
Language:
Portuguese
Published in:
Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 55, Number 2
JEL Codes:
G14, Q14.




 Record created 2017-09-18, last modified 2017-09-26

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