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Les marchés mondiaux des produits agricoles sont-ils efficients ?

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  • Araujo Bonjean, Catherine

Abstract

The aim of this paper is to test the random walk and martingale versions of the efficient market hypothesis using tools deriving from financial markets analysis. Tests are performed for a sample of agricultural products in order to detect long term memory in world prices, which is considered as an indicator of market imperfection, and to distinguish between stochastic and deterministic processes. Results show that most of the series are long memory processes generated by non-linear stochastic or déterministe systems. Although long memory does not imply the existence of profitable trading rules, for chaotic processes price changes are potentially predictable in the short run.

Suggested Citation

  • Araujo Bonjean, Catherine, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), vol. 243.
    • Handle: RePEc:ags:ersfer:354399
    DOI: 10.22004/ag.econ.354399
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    References listed on IDEAS

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    Cited by:

    1. Griffon, Michel, 2000. "Les pays en développement et l'économie internationale dans la revue Economie rurale de 1949 à 1999," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), vol. 255.
    2. Araujo Bonjean, Catherine & Brun, Jean-François, 2001. "Les politiques de stabilisation des prix du coton en Afrique de la zone franc sont-elles condamnées?," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), vol. 266.
    3. Araujo Bonjean, Catherine & Brun, Jean-Francois, 2001. "Les politiques de stabilisation des prix du coton en Afrique de la zone franc sont-elles condamnees?," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), vol. 266.

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