Análise da eficiência do mercado futuro e spot de milho no contexto regional dos anos de 2018 a 2022: os casos de São Paulo, Pernambuco e Bahia

Abstract

This study analyzed the efficiency of the corn futures market in the states of Bahia, Pernambuco, and São Paulo from 2018 to 2022, highlighting the significance of corn in the national economy, both in the domestic market and in exports. Employing the Engle-Granger cointegration test and the ECM model, the research focused on the time series of future contracts and spot prices in Bahia, Pernambuco, and São Paulo. The aim was to ascertain whether the futures market reflects reality and accurately predicts prices in these regions, in accordance with Eugene Fama's Efficient Market Hypothesis (1970). The findings indicated that future prices are effective in predicting spot prices, demonstrating that, despite some short-term adherence limitations, the futures market serves as a reliable predictor in the context of corn trading in these locations.