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Master's Dissertation
DOI
10.11606/D.96.2009.tde-28072009-095416
Document
Author
Full name
Rodrigo Takeuchi
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2009
Supervisor
Committee
Ferreira, Alex Luiz (President)
Bacchi, Mirian Rumenos Piedade
Silva, Roseli da
Title in Portuguese
Uma investigação sobre a hipótese de eficiência do mercado de açúcar no Brasil
Keywords in Portuguese
Açúcar
Cointegração
Eficiência
Mercado futuro
Abstract in Portuguese
O setor sucroalcooleiro se torna cada vez mais importante para economia brasileira devido a sua presença estratégica em diversos segmentos da cadeia produtiva nacional. A contribuição que antes ocorria por meio das exportações de açúcar e do álcool anidro, hoje ocorre também através das vendas domésticas de álcool hidratado e da co-geração de energia elétrica. A maior complexidade da agroindústria de cana-de-açúcar veio acompanhada de maiores riscos nas suas operações. O presente trabalho aborda o risco de mercado, o qual está relacionado a variações indesejadas dos preços do açúcar. Os contratos futuros servem de proteção contra tais oscilações, porém, para que esse instrumento sirva de proteção adequada, é preciso que o mercado seja eficiente em assimilar e refletir todas as informações disponíveis no preço. Por esse motivo, o estudo verificou se a hipótese de eficiência dos mercados futuros e à vista do açúcar é válida. A base de dados foi constituída pelas séries de preços do contrato futuro negociado na New York Board of Trade (NYBOT) e dos preços à vista colhidos pelo Centro de Estudos Avançados em Economia Aplicada (CEPEA-ESALQ), todos em bases diárias no período que compreende junho de 1997 até fevereiro de 2008. Os resultados encontrados mostram indícios da eficiência de mercado.
Title in English
An inquiry on the hypothesis of efficiency in the market of sugar in Brazil
Keywords in English
Cointegration
Efficiency
Future Market
Sugar
Abstract in English
The sugar-ethanol sector turns itself each more relevant to Brazilian economy due its strategic position at the several segments in the national productive chain. A time ago, the contribution of the sector occurred specially for the sugar and alcohol for normal cars foreign trade but today this value receive the contribution of alcohol for flex fuel cars and the generation of energy. Besides the huge complexity of the sugar cane sugar agricultural trade there are the all operational risks involved that can be due the market or due the production. This study broach the subject of market risk, specifically when there is a fluctuation in sugar price and the contracts financial futures work out against these changes. For the mechanism to be a real protection is necessary that the market has the efficiency in to absorb the all existing information about it and to reproduce the effect in the price. For this reason the study aims to analyze about the veracity of the financial futures and spot efficiency hypotheses and the instrument for that investigation was the Engle & Granger cointegration models. The method of Johansen was also used to confirm the robustness of the results found at the first model. The data base was constituted by the financial futures base of the New York Board of Trade (NYBOT) and the spot prices found at Centro de Estudos Avançados em Economia Aplicada (CEPEA-ESALQ), all of them at the daily base. The period used is July, 1997 until February, 2008. The founded results indicate for an existing market efficiency.
 
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RodrigoTakeuchi.pdf (413.26 Kbytes)
Publishing Date
2009-07-28
 
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