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...
Guardado en:
Autores principales: | , , , , , |
---|---|
Formato: | article |
Lenguaje: | EN |
Publicado: |
Taylor & Francis Group
2018
|
Materias: | |
Acceso en línea: | https://doaj.org/article/063aeb0499124859baf9119ad4d9110f |
Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
id |
oai:doaj.org-article:063aeb0499124859baf9119ad4d9110f |
---|---|
record_format |
dspace |
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 |
work_keys_str_mv |
AT janainagabriellemoreiracamposdacunhaamarante econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT tatianamarcedabach econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT wesleyvieiradasilva econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT danielamatiollo econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT alceusouza econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT claudimarpereiradaveiga econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil |
_version_ |
1718391051560943616 |