Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167831
Authors: 
Quintino, Derick D.
David, Sergio A.
Vian, Carlos E. de F.
Year of Publication: 
2017
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 5 [Year:] 2017 [Issue:] 2 [Pages:] 1-10
Abstract: 
In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method proposed by Hasbrouck in order to examine the market efficiency in price discovery and information transmission. Results show that although the futures market is efficient in price discovery and information transmission, the cash market leads the long-run price discovery process. This suggests that the underlying cause of the dominance of the available market over the futures market can be attributed to the market's relative concentration in wholesale ethanol distribution due to the formation of marketing pools by the ethanol mills, as well as the small number of distributors that control a significant portion of the market share.
Subjects: 
ethanol
futures markets
Brazil
price discovery
BM&F-BOVESPA
JEL: 
O13
D53
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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