Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil
AbstractIn 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. View Full-Text
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Quintino, D.D.; David, S.A.; Vian, C.E.F. Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil. Int. J. Financial Stud. 2017, 5, 11.
Quintino DD, David SA, Vian CEF. Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil. International Journal of Financial Studies. 2017; 5(2):11.Chicago/Turabian Style
Quintino, Derick D.; David, Sergio A.; Vian, Carlos E.F. 2017. "Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil." Int. J. Financial Stud. 5, no. 2: 11.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.