Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil

The objective of this study is to investigate evidence of cointegration and causality between the market price of the live cattle in Brazil and the prices of the respective derivatives traded on BM&FBOVESPA – São Paulo, Brazil. The Johansen test was used to analyze evidence of cointegration betw...

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Bibliographic Details
Published in:	Cogent business & management Vol. 5; no. 1; p. 1457861
Main Authors:	da Cunha Amarante, Janaina Gabrielle Moreira Campos, Bach, Tatiana Marceda, da Silva, Wesley Vieira, Matiollo, Daniela, Souza, Alceu, da Veiga, Claudimar Pereira
Format:	Journal Article
Language:	English
Published:	Abingdon Taylor & Francis 01-01-2018 Cogent Taylor & Francis Ltd Taylor & Francis Group
Subjects:	Brazil Causality econometric tests Economic models Futures futures markets Prices spot price Brazil
Online Access:	Get full text
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Summary:	The objective of this study is to investigate evidence of cointegration and causality between the market price of the live cattle in Brazil and the prices of the respective derivatives traded on BM&FBOVESPA – São Paulo, Brazil. The Johansen test was used to analyze evidence of cointegration between markets. The cointegration of these markets and their bidirectional causality signal to decision-makers in this agribusiness that the variations in BM&FBOVESPA futures contracts cause changes in the prices of the spot prices, as well as the spot prices cause to the futures contracts of B&MFBOVESPA.
ISSN:	2331-1975 2331-1975
DOI:	10.1080/23311975.2018.1457861