Eficiência de mercado e estratégia de Hedge: uma aplicação no setor sucroalcooleiro no Estado da Paraíba

Abstract

This dissertation is structured in two essays about the market efficiency and the hedge operation in the sugar and alcohol sector in the state of Paraíba. The first essay analyzes the efficiency hypothesis of the Paraíba sugar and ethanol market through the cointegration test. The methodological proposal is an applied quantitative approach study. Historical series of sugar and ethanol were used in the Paraiba market, which were collected on the BM & FBOVESPA and the Center for Advanced Studies in Applied Economics (CEPEA). For this purpose, the Descriptive Statistics metrics were applied to describe the behavior of the historical series, the Dickey-Fuller Augmented Test to verify the stationarity of the series, and finally the Cointegration Test, to analyze the long-term series relation. The results indicated a behavior with several oscillatory movements with tendencies for low and high prices in the market for both series. Regarding the stationarity of the series, the variables in view and future of the market in Paraiba, non-stationary roots were presented. Finally, the series estimate that there is no cointegration at the significance level of 5% and 10%, stating that there is a rejection of the hypothesis. Thus, it was evidenced that for both variables there is no cointegration vector. Therefore, it can be concluded that the sugar and alcohol sector of the market in Paraiba is inefficient. The second essay analyzes the hedge operation in the commercialization of Hydrated Ethanol - ETH in the state of Paraíba. The methodological proposal consists of a case study with a quantitative approach. For this purpose, historical series of hydrous ethanol from the Paraiba market were used, future prices obtained through the BM & FBOVESPA Market and Futures Exchange, and, finally, spot prices at a sugar and alcohol plant in Paraíba state. The following econometric methods, base value, risk base and descriptive statistics were used to verify historical series behavior; the Dickey-Fuller Augmented Test to verify the ethanol stationarity and the Johansen and Juselius Cointegration Test to describe the long-term ethanol relationship, and finally, the hedge operation and the optimal ratio and hedge effectiveness. The results indicated that hydrous ethanol in the market studied presented a behavior with oscillatory movements with tendencies for low and high prices for both variables in sight and in the future. Regarding stationarity and cointegration, the λ trace and λ maximum tests of the hydrated ethanol variables were presented, indicating an acceptance of the null hypothesis for the spot price practiced by the studied company, thus implying for the existence of a vector cointegration. Finally, hedge operations were measured, signaling a risk of approximately 21% for the spot price of the Agroindustrial Plant and 9% for the BM & FBOVESPA future price, that is, there is no effective coverage of risk. In view of all the results obtained, it is possible to conclude that the need for hedge protection by investors interested in the hydrocarbon ethanol market in Paraíba is latent in order to minimize the risks of the spot price and future.