Resumo

ALONSO, Julio C  e  ARCILA, Andrés M. SEMI-STRONG EFFICIENCY IN THE INTERNATIONAL SUGAR MARKET DURING THE PERIOD 2001-2011. Cuad. Econ. [online]. 2014, vol.33, n.62, pp.145-161. ISSN 0121-4772.  https://doi.org/10.15446/cuad.econ.v33n62.43670.

This work aims to verify the semi-strong efficient hypothesis described by Fama (1970) for the international sugar market. To achieve this goal, we follow Ferre and Hall (2002) who show that the existence of cointegration is a necessary but not sufficient condition to conclude that the market is not semi-strong efficient. To test this hypothesis we determined the existence of cointegration between the two sets of prices (sugar contract No. 5 in the London Market and contract No. 11 in the New York market). Our results show that there is a long term relationship, but there is not sufficient evidence to reject the null hypothesis of semi-strong efficiency in the international sugar market.

Palavras-chave : Semi-strong efficient; cointegration; Unit root; sugar.

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