Eficiência de mercado na pecuária de corte : o caso das macrorregiões de Mato Grosso

• Ano de defesa: 2016
• Autor(a) principal: Oliveira, Gabriela de Lourdes Pinto de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Mato Grosso; Brasil; Faculdade de Economia (FE); UFMT CUC - Cuiabá; Programa de Pós-Graduação em Economia
• Palavras-chave em Português: Mercado futuro; Mercado eficiente; Boi gordo; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA; Future market; Efficient market; Cattle
• Link de acesso: http://ri.ufmt.br/handle/1/2555

This work had as main objective to analyze the formation of prices of cattle prices in the informational prism of the seven geographical regions of Mato Grosso defined by IMEA in relation to futures contracts for live cattle and price of São Paulo. In secondary, its objectives were to examine the existence of long-term relationship between prices in the physical market of Mato Grosso and the indicator Cepea and the future price of BM&FBOVESPA for live cattle contracts and test the HEM for macro-regions with regard to contracts futures and the spot price of São Paulo with cointegration techniques and Error Correction Models. The results of cointegration tests have shown that the MT spot price series has a long-term balance between the futures prices and spot prices SP state. This means that, somehow, external prices ( ) can help the price discovery process spot future of MT of macro-regions ( ) by the market players, especially farmers. The market efficiency hypothesis was not accepted, thus prices of BM & F and Cepea not reflect all available information in the market for and therefore, statistically, these markets are not efficient in relation to MT.