Open AccessStudy of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data
Author(s) -
Jeremías Lachman,
Pablo Jack
Publication year - 2017
Publication title -
estudios económicos
Language(s) - English
Resource type - Journals
eISSN - 2525-1295
pISSN - 0425-368X
DOI - 10.52292/j.estudecon.2017.706
Subject(s) - futures contract , market efficiency , cointegration , futures market , econometrics , economics , financial economics , agricultural economics
This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke-
ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.