Resumo

CORONADO RAMIREZ, Semei; CELSO ARELLANO, Pedro Luis  e  ROJAS, Omar. Adaptive market efficiency of agricultural commodity futures contracts. Contad. Adm [online]. 2015, vol.60, n.2, pp.389-401. ISSN 0186-1042.  https://doi.org/10.1016/S0186-1042(15)30006-1.

In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample.

Palavras-chave : Efficient markets; Nonlinearity; Adaptive market hypothesis; Agricultural commodities; Futures market.