Causality and cointegration through brazilian agribusiness stock returns in the brazilian stock exchange, B3

Abstract

This research aimed to verify the existence or not of a long-term relationship between the variation in prices of the main agricultural commodities produced in Brazil and the returns of the shares of the main publicly traded agribusiness companies that make up the Brazilian agribusiness traded on the Brasil, Bolsa, Balcão (B3 S.A). Since the objective of this study is to analyze the relationship between variables using numerical data and specific statistical methods, a descriptive quantitative research was chosen. Based on this methodology, an analysis was carried out, which, based on the results of the cointegration tests, shows a long-term equilibrium relationship between the returns of agribusiness stock and the variations in agricultural commodity prices, with emphasis on ABEV3, BEEF3, and BRFS3 stocks. As for the results of the causality and exogeneity tests, it can be concluded that, in the short term, the variations in agricultural commodity prices have practically no chance of explaining the variations in returns of agribusiness stocks in B3 ABEV3, BEEF3, BRFS3, MDIA3, and SMTO3.