Abstract:
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.
Key-words:
Market efficiency; clustering; agricultural.
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Nota: Os valores dispostos abaixo dos nós denotam os valores-p aproximadamente não enviesador por multiscale bootstrap de Shimodaira (2002), Shimodaira (2004). Bolsa de Valores, Mercadorias e Futuros (BVMF), Chicago Board of Trade (CBT), Dalian Commodity Exchange (DCE), Mercado a Término de Buenos Aires (MTB), National Commodities and Derivatives Exchange (NCD), South African Futures Exchange (SAF) e Tokyo Commodity Exchange (TKT) - conforme ISO 10383 - Market Identifier Code. Fonte: Dados da pesquisa