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Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011

Author

Listed:
  • Julio C. Alonso

    ()

  • Andrés M. Arcila

    ()

Abstract

Este artículo tiene como objetivo comprobar la eficiencia en sentido semifuerte–de acuerdo a la definición de Fama (1970)– del mercado internacional del azúcar. Para lograr este objetivo, se seguirá a Ferré y Hall (2002), quienes demuestran que la existencia de cointegración es condición necesaria pero no suficiente para afirmar que el mercado no es eficiente. En este orden de ideas, para probar esta hipótesis se determinará la existencia de cointegración entre las dos series de precios del azúcar (contrato n.° 5 del mercado de Londres y el n.° 11 de Nueva York). Nuestros resultados muestran que existe una relación de largo plazo pero no una evidencia suficiente para rechazar la hipótesis de eficiencia en el sentido semifuerte para el mercado internacional del azúcar. ***** This work aims to verify the semi-strong efficient hypothesis described by Fama (1970) for the international sugar market. To achieve this goal, we follow Ferre and Hall (2002) who show that the existence of cointegration is a necessary but not sufficient condition to conclude that the market is not semi-strong efficient. To test this hypothesis we determined the existence of cointegration between the two sets of prices (sugar contract No. 5 in the London Market and contract No. 11 in the New York market). Our results show that there is a long term relationship, but there is not sufficient evidence to reject the null hypothesis of semi-strong efficiency in the international sugar market.

Suggested Citation

  • Julio C. Alonso & Andrés M. Arcila, 2014. "Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011," Revista Cuadernos de Economía, Universidad Nacional de Colombia -FCE - CID, June.
  • Handle: RePEc:col:000093:011519
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/62/finales/v33n62a07.pdf
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    References listed on IDEAS

    as
    1. María Angélica Arbeláez & Alexander Estacio & Mauricio Olivera, 2010. "Impacto socioeconómico del sector azucarero colombiano en la economía nacional y regional," Cuadernos de Fedesarrollo 009285, Fedesarrollo.
    2. A. J. Aulton & C. T. Ennew & A. J. Rayner, 1997. "Efficiency Tests Of Futures Markets For Uk Agricultural Commodities," Journal of Agricultural Economics, Wiley Blackwell, vol. 48(1‐3), pages 408-424, January.
    3. Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, vol. 35(4), pages 276-282, December.
    4. Julio César Alonso C. & Gloria Cecilia Martínez, 2007. "¿Es eficiente el mercado cambiario colombiano? Una mirada desde las pruebas de cointegración," Estudios Gerenciales, Universidad Icesi, October.
    5. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Eficiencia semifuerte; cointegración; raíces unitarias; azúcar.;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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