Semi-strong Efficiency in the International Sugar Market during the Period 2001-2011 [Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011]

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.

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