Testing the Weak Form of Efficient Market Hypothesis and Causality Analysis in Colombian Food Supply Centers

Main Article Content

Autores

Leonardo Hernán Talero-Sarmiento https://orcid.org/0000-0002-4129-9163
Henry Lamos-Díaz https://orcid.org/0000-0003-1778-9768
Edwin Alberto Garavito-Hernández https://orcid.org/0000-0002-0145-232X

Abstract

In Colombia, there are traditional food supply centers to trade agricultural products. Government institutions publish sale prices of these products in weekly reports. In order to determine the random characteristics of these price series and if there are relationships between the centers, we use a battery of six different tests to examine the weak form of efficient market hypothesis and the Granger causality test. For this, this work collected the historical weekly price of 28 agricultural products, taking into account six markets, during the first week of 2013 to the last week of 2017. The main results indicate that markets tend towards efficiency, however, the efficiency depends on the product traded. In addition, the centers in Manizales, Barranquilla and Villavicencio influence the prices of the Bogotá, Bucaramanga and Medellín markets.

Keywords:

Article Details

Licence

Copyright (c) 2019 Leonardo Hernán Talero-Sarmiento, Henry Lamos-Díaz, Edwin Alberto Garavito-Hernández

By submitting articles for evaluation, the author agrees to transfer the publishing rights to Revista Apuntes del CENES for publishing in any format or mean and that the attached partial use license will be signed. To increase their visibility, documents are sent to databases and indexing systems also can be viewed on the website and Redalyc - EBSCO - ProQuest - EconLit - DOAJ -  Scielo - Dialnet - ESCI(WoS) - Latindex  - DOTEC - REPECERIH PLUS - The WZB library -  Actualidad Iberoamericana  -   Publindex  - VCU -  Econpapers - EconBib - Bibilat  -  REDIB  -   Crossref - Worldcat -  CLASE - SHERPA ROMEO - Academia - EconBiz - Socionet - Vlex

The journal is under licence Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)

For CC licenses, the principle is the creative freedom. This system complements the copyright without oppose it. The content of the items is the responsibility of each author, and does not compromise in any way, magazine or institution.

Publishing and reproduction of titles, abstracts and full content for academic, scientific, cultural and nonprofit purposes is allowed, when the respective source is acknowledged. This work cannot be used for commercial purposes.

Apuntes del Cenes is an open access journal which means that all content is freely available without charge to the user or his/her institution. Users are allowed to read, download, copy, distribute, print, search, or link to the full texts of the articles, or use them for any other lawful purpose, without asking prior permission from the publisher or the author. This is in accordance with the BOAI definition of open access.

Apuntes del Cenes  does not charge authors for submission or publication

Form 6 Copyright Transfer Form

When sending an article to submit to the Apuntes del CENES journal, the author(s) certify and accept:

1.That the article has not been accepted for evaluation in another journal, nor has it been published.
2.That, in case a publication of a previous version as a working paper (or 'gray literature') has been reported on a website, and that, in the case of publication being accepted, it will be removed from the Internet site, where
will leave only the title, abstract, keywords and hyperlink to the journal.

3.
That once published in Apuntes del CENES will not be published in another magazine.

References

Bekkers, E., Brockmeier, M., Francois, J., & Yang, F. (2017). Local Food Prices and International Price Transmission. World Development, 96, 216–230. https://doi.org/10.1016/j.worlddev.2017.03.008

Benavides, G. (2004). Price Volatility Forecasts for Agricultural Commodities: An Application of Historical Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat. SSRN Electronic Journal, 3(2), 40–59. https://doi.org/10.2139/ssrn.611062

Bouri, E., Chang, T., & Gupta, R. (2017). Testing the Efficiency of the Wine Market Using Unit Root Tests with Sharp and Smooth Breaks. Wine Economics and Policy, 6(2), 80-87. https://doi.org/10.1016/j.wep.2017.06.001

Caeiro, F. & Mateus, A. (2014). Randtests: Testing Randomness in R. R Package Version, 1.

Cárdenas, J. I. & Vallejo, L. E. (2016). Agricultura y desarrollo rural en Colombia 2011-2013: una aproximación. Apuntes del Cenes, 35(62), 87. https://doi.org/10.19053/22565779.4411

Coronado, S., Ramírez, M. & Celso, P. L. (2014). Inefficiency in the International Coffee Market: The Case of Colombian Arabica. African Journal of Agricultural Research, 9(5), 556–561.

DeJong, D. N., Nankervis, J. C., Savin, N. E. & Whiteman, C. H. (1992). The Power Problems of Unit Root Test in Time Series with Autoregressive Errors. Journal of Econometrics, 53(1–3), 323–343. https://doi.org/10.1016/0304-4076(92)90090-E

Departamento Administrativo Nacional de Estadística -DANE-. (2017). Cuentas trimestrales, Colombia. Producto interno bruto (PIB) Boletín técnico cuarto trimestre de 2016. Bogotá: DANE.

Departamento Nacional de Planeación -DNP-. (2015). El campo colombiano: un camino hacia el bienestar y la paz. Misión para la transformación del campo. Recuperado de https://www.dnp.gov.co/programas/agricultura/Paginas/Informe-misi%C3%B3n-FInal.aspx.

Duarte-Duarte, J. B. & Mascareñas Pérez-Iñigo, J. M. (2014a). Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos. Estudios Gerenciales, 30(133), 365–375. https://doi.org/10.1016/j.estger.2014.05.005

Duarte-Duarte, J. B. & Mascareñas Pérez-Iñigo, J. M. M. (2014b). ¿Han sido los mercados bursátiles eficientes informacionalmente? Apuntes del Cenes, 33(57), 117. https://doi.org/10.19053/22565779.2906

Duarte-Duarte, J. B., Talero, L. H. & Sierra, K. J. (2017). Evaluation of the Effect of Investor Psychology on an Artificial Stock Market Through its Degree of Efficiency. Contaduría y Administración, 62(4), 1361–1376. https://doi.org/10.1016/j.cya.2017.06.014

Durbin, J. & Watson, G. S. (1951). Testing for Serial Correlation in Least Squares Regression. II. Biometrika, 38(1/2), 159. https://doi.org/10.2307/2332325

Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34. https://doi.org/10.1086/294743

Fama, E. F. (1991). Efficient Capital Markets: II. The Journal of Finance, 46(5), 1575–1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x

Food and Agriculture Organization of the United Nations FAO. (2011). Food Price Volatility and the Right to Food. Rome: FAO.

Geary, R. C. (1935). The Ratio of the Mean Deviation to the Standard Deviation as a Test of Normality. Biometrika, 27(3–4), 310–332. https://doi.org/10.1093/biomet/27.3-4.310

Gómez, H. J. (2011). Política comercial y de competitividad del sector agrícola en Colombia. En Cuadernos
Fedesarrollo (ed.), La política comercial del sector agrícola en Colombia (pp. 6–20). Bogotá: Cuadernos Fedesarrollo.

Granger, C. W. J. (1986). Developments in the Study of Cointegrated Economic Variables. Oxford Bulletin of Economics and Statistics, 48(3), 213–228. https://doi.org/10.1111/j.1468-0084.1986.mp48003002.x

Grossman, S. J. & Stiglitz, J. E. (1980). On the Impossibility of Informationally Efficient Markets. The American Economic Review, 70(3), 393–408. Retrieved from www.jstor.org/stable/1805228.

Gujarati, D. N. & Porter, D. C. (2010). Econometría. México: McGraw-Hill.

Hassan, A., Abdullah, M. S. & Shah, Z. A. (2007). Testing of Random Walks and market efficiency in an emerging market: An empirical analysis of Karachi Stock Exchange. The Business Review, Cambridge, 9(1), 271–280.

Karali, B., & Power, G. J. (2013). Short- and Long-Run Determinants of Commodity Price Volatility. American Journal of Agricultural Economics, 95(3), 724–738. https://doi.org/10.1093/ajae/aas122

Lachman, J. & Jack, P. (2017). Study of Efficiency and Information Transmission for Agricultural Futures Markets: A Comparative Analysis between Buenos Aires and Chicago Using Monthly and Daily Data. Estudios Economicos, 34(69), 3–23.

Levy, R. A. (1967). The Theory of Random Walks: A Survey of Findings. The American Economist, 11(2), 34–48. https://doi.org/10.1177/056943456701100205

Lo, A. W. (1991). Long-Term Memory in Stock Market Prices. Econometrica, 59(5), 1279–1313. https://doi.org/10.2307/2938368

Lo, A. W. (2005). Reconciling Efficient Market with Behavioral Finance: The Adaptative Markets Hypothesis. The Journal of Investment Consulting, 7(2), 1–25. https://doi.org/10.2139/ssrn.728864

Malkiel, B. G. (2003). The Efficient Market Hypothesis and Its Critics. Journal of Economic Perspectives, 17(1), 59–82. https://doi.org/10.1257/089533003321164958

Minot, N. (2014). Food Price Volatility in Sub-Saharan Africa: Has it Really Increased? Food Policy, 45, 45–56. https://doi.org/10.1016/j.foodpol.2013.12.008

Nisar, S. & Hanif, M. (2012). Testing Weak Form of Efficient Market Hypothesis: Empirical Evidence from South-Asia. World Applied Sciences Journal, 17(4), 414–427. https://doi.org/10.3968/5524

Peters, E. E. (2015). Fractal Market Analysis: Applying Chaos Theory to Investment and Economics. Wiley Finance Editions. Retrieved from https://books.google.com.co/books?hl=es&lr=&id=_bkoySKyc_cC&oi=fnd&pg=PA3&dq=(Fractal+Market+Analysis:+Applying+Chaos+Theory+to+Investment+and+Economics&ots=sNzltsZ0IO&sig=cnQpI_4F5zlD5blbhNH9omRATmo%5Cnhttp://www.loc.gov/catdir/description/wiley037/93028

Pfaff, B. (2008). Analysis of Integrated Series with R and Cointegrated Time. Use R! New York: Springer.

Resta, M. (2012). Hurst Exponent and its Applications in Time-series Analysis. Recent Patents on Computer Science, 5(3), 211–219. https://doi.org/10.2174/2213275911205030211

Ruiz-Porras, A. & Ruiz-Robles, B. (2015). La hipótesis de eficiencia y la modelación de series bursátiles mexicanas: un análisis multivariado. Economía Informa, 390, 28–57. https://doi.org/10.1016/S0185-0849(15)30003-7

Savin, N. E. & White, K. J. (1977). The Durbin-Watson Test for Serial Correlation with Extreme Sample Sizes or Many Regressors. Econometrica, 45(8), 1989. https://doi.org/10.2307/1914122

Talero, L. H., Duarte, J. B. & Garcés, L. D. (2017). La complejidad del mercado bursátil latinoamericano a partir de
un modelo autómata celular conductual. Apuntes del Cenes, 36(64), 199–223. https://doi.org/10.19053/01203053.v36.n64.2017.5421

Tansuchat, R., Chang, C. & McAleer, M. (2009). Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. https://doi.org/10.2139/ssrn.1491890

Tejeda, H. A. & Goodwin, B. K. (2009). Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets: Implications of Ethanol-Driven (Market) Shocks. In 2009 Conference, April 20-21, 2009, St. Louis, Missouri.

Tillman, J. A. (1975). The Power of the Durbin-Watson Test. Econometrica, 43(5/6), 959. https://doi.org/10.2307/1911337

Toth, A., Rendall, S., & Reitsma, F. (2016). Resilient Food Systems: A Qualitative Tool for Measuring Food Resilience. Urban Ecosystems, 19(1), 19–43. https://doi.org/10.1007/s11252-015-0489-x

Velásquez, J. D. & Aldana, M. A. (2007). Modelado del precio del café colombiano en la bolsa de Nueva York usando redes neuronales artificiales. Recuperado de http://www.scielo.org.co/pdf/rfnam/v60n2/a16v60n2.pdf

Zeileis, A., & Hothorn, T. (2002). Diagnostic Checking in Regression Relationships. R. News, 2(3), 7-10.

Downloads

Download data is not yet available.