The aim was to examine the semi-strong efficient market hypothesis (EMH) in soybean futures contracts in Brazil, traded in BM&F-Bovespa, applying spectral analysis and filtering rules. The comparative results in the theory indicate different conclusions about the EMH in agricultural commodity futures markets. However the market efficiency seems not confirmed for the Brazilian soybean futures prices. After testing, we rejected the random walk model for the Brazilian soybean futures settlement prices. The evaluation illustrated the contract arbitrage potential, subsequently classified applying filtering rules based on various ranges of the grain percentage futures settlement prices in the exchange. We simulated various operational strategies for buying and selling in the sample period from 2004 to 2010 based on the intervals. Sorting the financial results and percentage of lucrative operations, we identified certain sub-periods with higher incidence of positive gains. The difference between the results may be attributed to the recent commodity prices regime, prevailing in the markets after 2008. Also, the examined potential profitability in the BM&F-Bovespa soybean future contract market might attract new hedging and speculative operations, raising the trading volume. The increase in business will consolidate the contract as an efficient alternative to mitigate risk and generate profitable operations in the Brazilian agricultural futures market. Additionally, the process of price discovery evaluating the constellation of futures prices of a contract designed with the characteristics of the Brazilian soybean will increase the administrative efficiency of the grain marketing process. The analysis is novel in the Brazilian literature.
Spectral analysis; Filtering rules; Futures market; Soybean; BM & F-Bovespa
