IDEAS home Printed from https://ideas.repec.org/a/taf/oabmxx/v5y2018i1p1457861.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23311975.2018.1457861
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23311975.2018.1457861?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kureski, Ricardo & Moreira, Vilmar Rodrigues & Veiga, Claudimar Pereira da, 2020. "Agribusiness participation in the economic structure of a Brazilian region: analysis of GDP and indirect taxes," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 58(3), January.
    2. Claudimar Pereira da Veiga & Cássia Rita Pereira da Veiga & Felipe Mendes Girotto & Diego Antonio Bittencourt Marconatto & Zhaohui Su, 2024. "Implementation of the ARIMA model for prediction of economic variables: evidence from the health sector in Brazil," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-11, December.
    3. 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.
    4. 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.
    5. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:oabmxx:v:5:y:2018:i:1:p:1457861. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://cogentoa.tandfonline.com/OABM20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.