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: Janaina Gabrielle Moreira Campos da Cunha Amarante, Tatiana Marceda Bach, Wesley Vieira da Silva, Daniela Matiollo, Alceu Souza, Claudimar Pereira da Veiga
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Publicado: Taylor & Francis Group 2018
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Acceso en línea:https://doaj.org/article/063aeb0499124859baf9119ad4d9110f
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spelling oai:doaj.org-article:063aeb0499124859baf9119ad4d9110f2021-12-02T14:35:47ZEconometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil2331-197510.1080/23311975.2018.1457861https://doaj.org/article/063aeb0499124859baf9119ad4d9110f2018-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2018.1457861https://doaj.org/toc/2331-1975The 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.Janaina Gabrielle Moreira Campos da Cunha AmaranteTatiana Marceda BachWesley Vieira da SilvaDaniela MatiolloAlceu SouzaClaudimar Pereira da VeigaTaylor & Francis Grouparticlefutures marketseconometric testsspot pricebrazilBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 5, Iss 1 (2018)
institution DOAJ
collection DOAJ
language EN
topic futures markets
econometric tests
spot price
brazil
Business
HF5001-6182
Management. Industrial management
HD28-70
spellingShingle futures markets
econometric tests
spot price
brazil
Business
HF5001-6182
Management. Industrial management
HD28-70
Janaina Gabrielle Moreira Campos da Cunha Amarante
Tatiana Marceda Bach
Wesley Vieira da Silva
Daniela Matiollo
Alceu Souza
Claudimar Pereira da Veiga
Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
description 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.
format article
author Janaina Gabrielle Moreira Campos da Cunha Amarante
Tatiana Marceda Bach
Wesley Vieira da Silva
Daniela Matiollo
Alceu Souza
Claudimar Pereira da Veiga
author_facet Janaina Gabrielle Moreira Campos da Cunha Amarante
Tatiana Marceda Bach
Wesley Vieira da Silva
Daniela Matiollo
Alceu Souza
Claudimar Pereira da Veiga
author_sort Janaina Gabrielle Moreira Campos da Cunha Amarante
title Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
title_short Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
title_full Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
title_fullStr Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
title_full_unstemmed Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
title_sort econometric analysis of cointegration and causality between markets prices toward futures contracts: evidence from the live cattle market in brazil
publisher Taylor & Francis Group
publishDate 2018
url https://doaj.org/article/063aeb0499124859baf9119ad4d9110f
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