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Eficiência adaptativa nos mercados futuros agropecuários brasileiros

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  • Rodrigues, Marcos Aurelio
  • Martines Filho, João Gomes

Abstract

Objetivou-se neste estudo analisar a eficiência dos mercados futuros agropecuários brasileiros, sob a hipótese adaptativa de mercado. Utilizando propostas recentes à não linearidade e razão de variância, encontrou-se que as elevadas rejeições à hipótese de diferença martingal se encontram nos mercados em que as intervenções governamentais se fazem presentes: milho e etanol. Nos mercados de café, boi gordo e soja ocorreram menores rejeições à hipótese martingal e, portanto, houve maior eficiência informacional. Essas evidências - consistentes com a hipótese adaptativa dos mercados - justificam operações de hedge dinâmicas, bem como a gerência de carteiras de investimentos de forma ativa.

Suggested Citation

  • Rodrigues, Marcos Aurelio & Martines Filho, João Gomes, 2016. "Eficiência adaptativa nos mercados futuros agropecuários brasileiros," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(2), July.
    • Handle: RePEc:fgv:epgrbe:v:70:y:2016:i:2:a:40645
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