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Keywords = BM&F-BOVESPA

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10 pages, 1190 KB  
Article
Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil
by Derick D. Quintino, Sergio A. David and Carlos E. de F. Vian
Int. J. Financial Stud. 2017, 5(2), 11; https://doi.org/10.3390/ijfs5020011 - 1 Apr 2017
Cited by 10 | Viewed by 5953
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 [...] Read more.
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. Full article
(This article belongs to the Special Issue Energy Finance)
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