MARKET EFFICIENCY: APPLICATION OF THE CONCEPT TO THE SUCROALCOOLEIRO SECTOR OF PARAÍBA

EFICIÊNCIA DE MERCADO: UMA APLICAÇÃO NO SETOR SUCROALCOOLEIRO DA PARAÍBA

ABSTRACT

Purpose:

This article has as main objective to analyze the efficiency of the sugar and ethanol market in Paraíba, through the cointegration test.

Design/methodology/approach:

To this end, historical series of sugar and ethanol from the Paraíba market were used, collected at BM&FBOVESPA and CEPEA. As for the methods, the Descriptive Statistics metrics were applied to describe the series’ behaviors, the Dickey-Fuller Increased Unit Root Test to verify stationarity, and finally the Cointegration Test, to analyze the long-term relationship.

Findings:

The results indicated a behavior with several oscillatory movements in the series prices. Regarding the stationarity of the series, the variables in sight and future of the Paraíba market, a non-stationary process was presented. Finally, the series were estimated to have no cointegration. Thus, we can conclude that the sugar and alcohol sector in the Paraiba market is inefficient, that is, commodities deviate from the real market value.

Research limitations/implications:

In the unfolding of this research, a limitation was evident during the exploratory phase, such as: Restrictions on the period of data on sugar and hydrated ethanol available at CEPEA and BM & FBOVESPA, mainly with regard to the cash price and future variables of the Paraiba market.

Practical implications:

In this research, it can be seen that the Paraíba market would be considered efficient if it reflected the information available in commodity prices, making abnormal gains impossible.

Originality/value:

A study on market efficiency is relevant, as it makes it possible to identify patterns of behavior of asset prices in the market. That is, they can assess whether asset prices are being overvalued and how it affects the investor and the Brazilian economy.

Keywords:
Market efficiency; Cointegration; Sucroalcooleiro Sector