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

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

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.

Suggested Citation

  • Janaina Gabrielle Moreira Campos da Cunha Amarante & Tatiana Marceda Bach & Wesley Vieira da Silva & Daniela Matiollo & Alceu Souza & Claudimar Pereira da Veiga, 2018. "Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil," Cogent Business & Management, Taylor & Francis Journals, vol. 5(1), pages 1457861-145, January.
    • Handle: RePEc:taf:oabmxx:v:5:y:2018:i:1:p:1457861
    DOI: 10.1080/23311975.2018.1457861
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    Cited by:

    1. Lívia Maria da Silva Santos & Wenner Glaucio Lopes Lucena & Wesley Vieira da Silva & Tatiana Marceda Bach & Claudimar Pereira da Veiga, 2019. "Explanatory Factors of the Environmental Disclosure of Potentially Polluting Companies: Evidence From Brazil," SAGE Open, , vol. 9(1), pages 21582440198, February.
    2. Cynthia W. Angba & Richard N. Baines & Allan J. Butler, 2020. "Examining Yam Production in Response to Climate Change in Nigeria: A Co-Integration Model Approach," Social Sciences, MDPI, vol. 9(4), pages 1-15, April.
    3. de Souza Ramser, Claudia Aline & Souza, Adriano Mendonça & Souza, Francisca Mendonça & da Veiga, Claudimar Pereira & da Silva, Wesley Vieira, 2019. "The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy," Resources Policy, Elsevier, vol. 62(C), pages 9-21.

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