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

Janaina Gabrielle Moreira Campos da Cunha Amarante, Tatiana Marceda Bach, Wesley Vieira da Silva, Daniela Matiollo, Alceu Souza and Claudimar Pereira da Veiga

Cogent Business & Management, 2018, vol. 5, issue 1, 1457861

Abstract: 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.

Date: 2018
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DOI: 10.1080/23311975.2018.1457861

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