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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| Autores principales: | , , , , , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Taylor & Francis Group
2018
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/063aeb0499124859baf9119ad4d9110f |
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| Sumario: | 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. |
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