Resumo

LACHMAN, Jeremías  e  JACK, Pablo. Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data. Estud. Econ. [online]. 2017, vol.34, n.69, pp. 3-38. ISSN 2525-1295.

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME-CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between markets. Therefore, the main objective of this research - in addition to individually analyzing the efficiency in futures market in each country - is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME-CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

Palavras-chave : Efficient Market Hypothesis; Vector Error Correction Model; Agricultural Finance.