Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / We analyse the role of financial and macro-economic variables in the conduct of monetary policy, particularly the role played by monetary policy in the house price boom of the early 2000s. The analysis is performed in the setup of a New Keynesian open economy. We estimate a five variable Recursive Vector Autoregressive model consisting of the short term interest rate, house prices, inflation, output and the exchange rate. Quarterly data from 1994 to 2011 was inputted in Eviews (6) to run the model. We find a significant causal relationship between the short term interest rate and house prices; the impulse response results show an instant response of house prices to a shock in monetary policy. We conclude that the house price boom of the early 2000s was partially attributed to an overreaction to a shock in monetary policy. We also find evidence of exchange rate pass- through to the consumer price index as in (Mishkin, 2008).We conclude that perhaps monetary policy should take cognisance of asset price fluctuations and exchange rate volatility in determining the policy instrument

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / The evidence put forward by Zhang (2010) indicates that algorithmic trading can potentially generate the momentum effect evident in empirical market research. In addition, upon analysis of the literature, it is apparent that algorithmic traders possess a comparative informational advantage relative to regular traders. Finally, the theoretical model proposed by Wang (1993), indicates that the informational differences between traders fundamentally influences the nature of asset prices, even generating serial return correlations. Thus, applied to the study, the theory holds that algorithmic trading would have a significant effect on security return dynamics, possibly even engendering the momentum effect. This paper tests such implications by proposing a theory to explain the momentum effect based on the hypothesis that algorithmic traders possess Innovative Information about a firm’s future performance. From this perspective, Innovative Information can be defined as the information derived from the ability to accumulate, differentiate, estimate, analyze and utilize colossal quantities of data by means of adept techniques, sophisticated platforms, capabilities and processing power. Accordingly, an algorithmic trader’s access to various complex computational techniques, infrastructure and processing power, together with the constraints to human information processing, allow them to make judgments that are superior to the judgments of other traders. This particular aspect of algorithmic trading remains, to the best of my knowledge, unexplored as an avenue or mechanism, through which algorithmic trading could possibly affect the momentum effect and thus market efficiency. Interestingly, by incorporating this information variable into a simplified representative agent model, we are able to produce return patterns consistent with the momentum effect in its entirety. The general thrust of our results, therefore, is that algorithmic trading can hypothetically generate the return anomaly known as the momentum effect. Our results give credence to the assumption that algorithmic trading is having a detrimental effect on stock market efficiency.

Master of Commerce (Finance) in the Finance Division, School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg, 6 September 2017 / The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE), and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis, and Shiller’s (1981; 2003) informational efficiency designation. Efficiency was tested using measures of return predictability, a random walk benchmark, and price volatility; liquidity was measured using market turnover. The tests were conducted on JSE Top 40 shares across three regimes, spanning January 2012 – June 2016. The regimes are demarcated by two structural breaks in the JSE’s microstructure: the 2012 trading platform upgrade, and the 2014 colocation centre launch. The results show that past order imbalances are a significant predictor of daily returns, although the significance of this predictability has dissipated over time. Return predictability is not influenced by liquidity. In fact, there is evidence that illiquidity weakens return predictability. Prices were closer to random walk benchmarks during the third regime. In consideration of informational efficiency, during the latter two regimes price volatility is greater during trading versus non-trading hours. This is coupled with an emergence of nonlinear return dependence, which is indicative of greater mispricing. Thus, over the three regimes, market efficiency improved in the sense of the EMH, but informational efficiency deteriorated. The study contributes to the field by: introducing an inverse measure of market efficiency; providing insight into the measure’s time variation and relation to liquidity; and demonstrating that market efficiency tests should incorporate its dual meanings, enabling richer understanding of their intersection. / GR2018

The purpose of this research report is to determine whether the use of a Downside risk variable – the D-Beta – is more appropriate in the emerging market of South Africa than the regular Beta used in the CAPM model. The prior research upon which this report expands, performed by Estrada (1999; 2002; 2005), focuses on using Downside risk models mainly at an overall country (market) level. This report focuses exclusively on South Africa, but could be applicable to various other emerging markets. The reason for researching this topic is simple: Investors – not just in South Africa, but all across the world – think of risk differently to the way that it is defined in terms of modern portfolio theory. Beta measures risk by giving equal weight to both Upside and Downside volatility, while in reality, investors are a lot more sensitive to Downside fluctuations. The Downside Beta takes into account only returns which are below a certain benchmark, thereby allowing investors to determine a share’s Downside volatility. When the Downside Beta is included as the primary measure of systematic risk in an asset pricing model (such as the D-CAPM), the result is a model which can be used to determine cost of equity, and make forecasts about share returns. The results of this research indicate that using the D-CAPM to forecast returns results in improved accuracy when compared to using the CAPM. However, when comparing goodness of fit, the CAPM and the D-CAPM are not significantly different. Even with this conflicting result, this research shows that there is indeed value in using the D-Beta in South Africa, especially during times of economic downturn.

The Capital Asset Pricing Model (CAPM), as introduced by Markowitz (1952), Sharpe (1964), Lintner (1965), Black (1972) and Mossin (1966), offers powerful and intuitively pleasing predictions about the risk and return relationship that is expected when investing in equities. Studies on the empirical strength of the CAPM such as Fama and French (1992), however, indicate that the model does not reflect the share return actually obtained on the equity market. Attempting to improve the model, Fama and French (1993) enhanced the original CAPM by incorporating other factors which may be relevant in predicting the return on share investments, specifically, the book – to – market ratio and the market capitalisation of the entity. Carhart (1997) further attempted to improve the CAPM by incorporating momentum analysis together with the 3 factors identified by Fama and French (1993). This research report empirically evaluates the accuracy of the above three models in calculating the cost of equity on the Johannesburg Stock Exchange over the period 2002 to 2012. Portfolios of shares were constructed based on the three models for the purposes of this evaluation. The results indicate that the book-to-market ratio and market capitalisation are able to add some robustness to the CAPM, but that the results of formulating book – to – market and market capitalization portfolios is highly volatile and therefore may lead to inconsistent results going forward. By incorporating the short run momentum effect, the robustness of the CAPM is improved substantially, as the Carhart model comes closest to reflecting what, for the purposes of this study, represents the ideal performance of an effective asset pricing model. The Fama and French (1993) and Carhart (1997) models therefore present a step forward in formulating an asset pricing model that will hold up under empirical evaluation, where the expected cost of equity is representative of the total return that can be expected from investing in a portfolio of shares. It is however established that the additional factors indicated above are volatile, and this volatility may influence the results of a longer term study.

O presente trabalho teve como objetivo estudar a dinâmica (dispersão e variação) dos preços de um conjunto de bens duráveis praticados pelos varejistas em lojas virtuais brasileiras. As informações foram coletadas por um sistema automático de captura, ao longo de um ano completo (2014). Três hipóteses foram formuladas. A primeira hipótese estabeleceu que, apesar das características homogêneas dos produtos comercializados, deveriam persistir diferenças significativas entre os preços praticados pelos diferentes varejistas. A segunda hipótese propôs a ideia de que, para produtos tecnologicamente mais simples, as diferenças de preços entre os competidores deveriam ser menos acentuadas quando comparadas com itens mais complexos. A terceira hipótese provém de uma ideia semelhante, entretanto, fixa-se na comparação de preços praticada em diferentes períodos do ano. Supôs-se que, em momentos nos quais a sazonalidade é de aumento forte das vendas (por exemplo, \"Black Friday\" ou o Dia das Mães), as variações de preços devem ser menores que as registradas em outros períodos do ano. A análise dos modelos, utilizando 767481 observações concluiu pela não rejeição das três hipóteses. / The purpose of this work is to study the dynamics of retail durable goods prices. A set of representative products traded on the Internet channel was chosen. The information set was surveyed with the use of an automatic data collection system, throughout the whole year of 2014. Three hypotheses were proposed. The first hypothesis states that despite the fact that the products are relatively homogeneous, meaningful prices differences among the retailers should be found. The second hypothesis affirms that durable goods which are technologically simpler than other ones, more sophisticated, should unveil fewer price differences. The third and the last hypothesis proposes that in periods when the demand is more intense (Mother´s Day in May, or Black Friday in November, for instance), the price differences should be less pronounced. The tests carried out, using 767481 cases, did not reject the three hypotheses.

Este trabalho retomou as análises do comportamento dos preços das commodities agrícolas após um período superior a uma década durante o qual o tema ocupou pouca atenção dos estudiosos. Os resultados encontrados mostram um papel moderado, mas não desprezível, para as variáveis macroeconômicas nas variações não-antecipadas daqueles preços. A taxa de câmbio impacta diretamente os preços dos produtos transacionados no exterior e indiretamente aqueles que com eles competem na produção e no consumo. A taxa de juros é componente do custo de armazenamento e, assim, se ela aumenta, por exemplo, eleva-se o custo de armazenamento, maior volume de commodities é lançado no mercado e seus preços tendem a cair. A taxa de juros, sabe-se, também, afeta o nível de atividade econômica e, logo, a renda dos países. Análises de auto-regressão vetorial foram empregadas para medir os impactos e a importância de choques nessas variáveis macroeconômicas sobre os preços da soja e do milho no Brasil. Verificaram-se efeitos não desprezíveis dos juros sobre esses preços e do c6ambio sobre o preço da soja. A renda - medida pelo PIB - não se mostrou relevante, talvez por este não ter capturado o efeito daquela ou pela exígua variação que o PIB tenha apresentado no período analisado. Embora os juros tenham se revelado capazes de serem utilizados para aliviar impactos inflacionários oriundos de elevações exageradas de preços de commodities, as evidências apontam para um elevado componente exógeno desses preços, o que pode ser interpretado com resultado da importância de fatores setoriais nesses mercados (como tecnologia e produtividade, clima e oscilações de demanda). Assim, caso a preocupação relacionar-se à instabilidade desses preços, caberá usar os instrumentos de armazenagem e crédito para controlá-la. / This work resumed the behavioral analysis of commodities prices in agriculture after a decade during which the topic drew little attention from researchers. The results found show a moderate role, but not indispensable, played by the macroeconomic variables in the non-anticipated variations of their prices. The exchange rate impacts directly the prices of goods traded in foreign markets and indirectly those with which they compete in production and consumption. The interest rate is a component of storage costs, and, therefore, if it is raised, for example, it increases them, so a higher volume of commodities is offered to the market and their prices tend to drop. It is also known that the interest rate affects the level of economic activity and, thus, the countries\' revenue. Analysis of vectorial auto-regression was utilized to measure the impacts and the importance of shocks in these macroeconomic variables on corn and soybean prices in Brazil. It was verified indispensable effects of interest on these prices and of the interest rate on the soybean price. The revenue - measured by the GDP - did not show relevance, it might not have captured the effect of the revenue or because of the insignificant variation of the GDP in the period analyzed. Even though the interest has proven to be useful to mitigate the inflationary impacts derived from exacerbated increases of commodities prices, the evidences point to an elevated exogenous component of these prices, which can be interpreted as a result of the importance of sectoral factors in these markets (such as technology and productivity, climate and demand oscillations). Thus, as far as price instability is concerned, the use of instruments of storage and credit is required to control it.

Desde o início do século XX o etanol já se apresentava como alternativa aos combustíveis fósseis. No Brasil, os choques do petróleo resultaram no primeiro impulso à produção desse combustível, sendo o país o único a implementar um programa de substituição de grandes proporções. Com a estabilidade do preço do petróleo e diante de problemas internos, como os relacionados ao abastecimento e fim dos subsídios governamentais, o programa ficou \'adormecido\' (1996-2002). Em 2003, inicia-se o segundo impulso ao etanol no Brasil, sendo esse período denominado de \'revolução-flex\' (2003-2008). Mas esse impulso, diferente do primeiro, criou a expectativa de exportar o único biocombustível avançado, assim classificado pela Agência de Proteção Ambiental dos Estados Unidos - EPA, mesmo este sendo o país que produz o maior concorrente do etanol brasileiro. Mas a partir de 2008, por uma série de motivos, essa fase de expansão torna-se uma fase de \'incerteza/estagnação\' (2009-2013) frustrando as expectativas do setor. No entanto, esse segundo impulso é caracterizado pela expansão da atividade canavieira para outras regiões que não as tradicionais, como o Centro-Oeste. Tendo esse cenário como pano de fundo, busca-se, através deste estudo, analisar as relações de longo prazo do preço do etanol do segmento produtor nos diferentes estados do Brasil: Paraná, São Paulo, Minas Gerais, Goiás, Mato Grosso e Mato Grosso do Sul (região Centro-Sul) e Alagoas e Pernambuco (região Norte-Nordeste), o que torna possível identificar a dinâmica do processo de formação de preço no mercado doméstico. Na análise utilizam-se dados mensais do período de abril de 2008 a março de 2013. Tal proposta fundamenta-se na hipótese de que os preços desses estados possam ser integrados, mesmo que não perfeitamente, dada a existência de arbitragem. Se a hipótese não for rejeitada, pode-se considerar o mercado de etanol como de abrangência nacional. Para determinar a relação de integração entre as variáveis, utilizou-se o modelo de cointegração de Johansen (1988) e testes sobre os parâmetros ? e ? do vetor de cointegração, possibilitando analisar relações de perfeita integração e relações de integração, ainda que não perfeitas. Os resultados mostram que os estados de São Paulo, Paraná, Minas Gerais e Goiás são perfeitamente integrados entre si, além de todos apresentarem relações, embora não perfeitas, com os estados da região Norte-Nordeste, representados por Alagoas e Pernambuco, e também com o Estado do Mato Grosso. Os estados da região Norte-Nordeste são perfeitamente integrados. Conclui-se, assim, que relações de perfeita integração são encontradas, na maior parte das vezes, entre estados de uma mesma região (Centro-Sul e Norte-Nordeste). Constatou-se, no entanto, relações de integração, ainda que não perfeitas, entre estados de regiões diferentes. Assim, a rejeição ou não da hipótese de existência de um único mercado para o etanol no Brasil depende das premissas adotadas em relação à integração perfeita ou não. Num cenário menos restritivo, em que se admite integração não perfeita, considera-se que existe um único mercado para o etanol no Brasil. Nessas condições pode-se considerar que o mercado relevante do etanol inclui a região Centro-Sul e o Norte-Nordeste. / Ethanol has been showed an alternative to fossil fuel since early twentieth century. Due to the petroleum crisis, the ethanol was prompted as fuel in Brazil, where a large scale program of substitution was implemented. However, this program was losing strength and stagneted during 1996-2002 due to the petroleum price stability and internal problems related to governmental subsidies. A second ethanol program boost emerged in 2003, period named \"flex-revolution\" during 2003-2008. Unlike the first prompt, the revolution-flex period created an expectation of to export the unique advanced biofuel, classified by the Environment Protection Agency from United States of America (EPA), which was the most ethanol and sugar-cane competitor country for Brazil. From 2008 due to several reasons, the expansion phase became an \"uncertain and stagnated period\" (2009-2013), frustrating the sector expectations. Nonetheless, the second prompt was characterized by expansion of sugar-cane production to non-traditional areas, such as Brazilian Centro-Oeste. According to this background, the aim of the present study is to analyze a long-term the ethanol price in different Brazilian States: Paraná, São Paulo, Minas Gerais, Goiás, Mato Grosso and Mato Grosso do Sul (Centro-Sul) and Alagoas and Pernambuco (Norte-Nordeste), which makes possible to identify the dynamic process of price establishment. Mensal data from April 2008 to March 2013 was utilized. The proposal is based on the hypothesis that the ethanol prices from the mentioned States can be perfectly integrated, given the existence of arbitration, even though not perfectly integrated. If the hypothesis was not rejected, it would be considered the ethanol market nationwide. To determine the variable integrations, the cointegration model described by Johansen (1988) and tests on ? and ? parameters of cointegration vector was utilized, which enables to analyze perfect integration relation and integration relations, even though non perfect integrated. The results showed that São Paulo, Paraná, Minas Gerais and Goiás are perfectly integrated. Besides, all of them showed relation with Norte-Nordeste States (Alagoas and Pernambuco), although non-perfectly. As a result, perfect integration can be found, in most time, within states from the same region (Centro-Sul and Norte-Nordeste). Nevertheless, non-perfect integration was found among states from different regions. Therefore, rejection or not the hypothesis of a single market for ethanol in Brazil depends on the assumptions employed regarding to the perfect integration or not. A less restrictive setting in which admits no perfect integration, it is considered that there is a single market for ethanol in Brazil. In these conditions it could be considered that the ethanol relevant market is Centro-Sul and Norte-Nordeste regions.

De acordo com o arcabouço teórico da microeconomia, as estruturas de mercado condicionam as empresas a se comportarem como formadoras ou tomadoras de preço principalmente em função das interações entre oferta e demanda. Além destes fatores externos, existem fatores internos que determinam a abordagem de preços utilizada pelas organizações, como por exemplo a estrutura organizacional e a estrutura de custos. As abordagens de preços são classificadas por diversos pesquisadores de marketing em três, a saber: preço baseado no custo; preço baseado na concorrência; e preço baseado no valor. A abordagem do valor se fundamenta nos benefícios esperados pelo consumidor, numa lógica completamente diferente das utilizadas nas abordagens que se baseiam nos preços da concorrência ou nos próprios custos, além de apresentar potencial de trazer ganhos para os fornecedores e para os consumidores. Considerando os benefícios indicados pela literatura, poder-se-ia esperar que as empresas adotassem as melhores técnicas e práticas disponíveis visando sua implementação; entretanto, pesquisas indicam que ela não é frequentemente aplicada no ambiente B2B. A fim de avaliar como se dá formação do preço de venda com base no valor em empresas formadoras e tomadoras de preço no ambiente B2B brasileiro, esta pesquisa realizou um estudo em determinantes de preço internos e externos de empresas da indústria eletroeletrônica associadas à ABINEE. Entre os determinantes internos, avaliou-se as características das margens utilizadas assim como as características da estrutura organizacional de preços. Entre os externos, avaliou-se as características de empresas formadoras e tomadoras de preço, a intensidade de diferenciação e de competição no mercado. A coleta de dados foi realizada através de questionário aplicado aos gestores responsáveis pela determinação do preço de venda. Em função da sensibilidade do tema, a taxa de resposta de 13,6% é considerada adequada, além de ser compatível com estudos anteriores. O instrumento da pesquisa foi submetido a um pré-teste de validade, além de basear-se no arcabouço teórico pertinente ao tema, partindo de constructos, indicadores e variáveis assemelhadas a outras utilizadas em estudos anteriores. O teste de confiabilidade resultou em um Alpha de Cronbach de 0,86. Análises de correspondências e estatísticas descritivas foram utilizadas como técnicas de análise dos dados. A pesquisa identificou que a determinação do preço de venda pela abordagem do valor apresenta características organizacionais distintas das demais abordagens. Percebe-se a existência de maior grau de formalização e de delegação da decisão de preços entre estas empresas, embora relata-se a baixa cooperação entre os atores organizacionais envolvidos com preço. Também houve indicação de menor envolvimento da alta gerência, o que pode estar relacionado à percepção de que a organização de preço nestas empresas já está suficientemente desenvolvida. Em relação ao comportamento de preços, percebe-se maior diferenciação dos produtos e dos serviços oferecidos pelas empresas que se comportam como formadoras de preço, da mesma maneira que relatam haver maior intensidade de competição. Nos aspectos organizacionais, os formadores de preço apresentam maior grau de formalização, cooperação, especialização e de envolvimento da alta gerência em relação aos tomadores de preço. / According to the microeconomic theory, firms can behave as price-makers or price-takers due to the interactions between market agents. In addition to these external factors, there are internal factors that determine the pricing approach used by organizations, such as organizational structure and cost structure. The pricing approaches are segregated, by several marketing researchers, into three, namely: cost-based price; competition-based price; and value-based price. The value-based approach is based on the benefits expected by the consumer, in a logic completely different from those used in approaches that are based on competition or on own costs, as well as presenting potential to bring gains to suppliers and consumers. Considering the benefits indicated by the literature, companies could be expected to adopt the best available techniques and practices for their implementation, however, researches indicate that it is not often applied in the B2B environment. In order to evaluate how value-based sales price is formed in Brazilian B2B environment, this research carried out a study on internal and external price determinants of companies in the electro-electronics industry associated with ABINEE. Among the internal determinants, the characteristics of the margins used as well as the characteristics of the organizational structure of prices were evaluated. Among the external ones, the characteristics of price-makers and price-takers, the intensity of differentiation and of competition in the market were evaluated. The data collection was done through a questionnaire applied to the managers responsible for determining the sale price. The response rate of 13.6% is considered adequate and it is compatible with previous studies about price. The research instrument was submitted to a validity pre-test, and it was based on the theoretical framework pertinent to the theme, with constructs, indicators and variables similar to those used in previous studies. The reliability test resulted in a Cronbach\'s Alpha of 0.86. Correspondence analysis and descriptive statistics were used as data analysis techniques. It was concluded that the value-based price approach presents different organizational characteristics in relation to the other approaches. In the organizational aspect, the existence of a greater degree of formalization and delegation of price decision among these companies is noticed, although the low cooperation between the organizational actors involved with price is reported. There is also an indication of less involvement of the top management, which may be related to the perception that the price organization in these companies is already sufficiently developed. Regarding companies\' behavior, it is possible to notice a greater differentiation of the products and services offered by the companies that behave as price-makers, in the same way that they perceive a greater intensity of competition. In the organizational aspects, the price-makers present a greater degree of formalization, cooperation, specialization and the involvement of top management compared to price takers.

O propósito do presente estudo é investigar a formação de preços do etanol hidratado no mercado de combustíveis do país. Esta pesquisa busca identificar como se forma o preço do etanol hidratado no mercado interno. A concepção teórica parte da compreensão da formação de preços abrangendo custos, economia de escala, fatores mercadológicos, econômicos e sociais na formação de preços. Em seguida, é realizada a contextualização do combustível etanol no mercado interno, como se caracteriza sua demanda e oferta, suas tecnologias e seus principais propulsores na difusão do mercado de combustíveis. Complementa-se com a caracterização do mercado internacional do combustível etanol e com os regulamentos ambientais existentes. Integrando-se as abordagens teóricas com a investigação realizada no setor de combustível etanol. O trabalho prossegue com a metodologia investigativa de atributos interno e externo para formar preços, o que motivou a escolha de uma metodologia baseada em estudos qualitativos e quantitativos, nos quais um complementa o outro em sua análise. Apresentando-se uma metodologia do tipo descritiva, exploratória e explicativa, a pesquisa proporciona reflexões e compreensão do mercado de etanol, que por meio de variáveis qualitativas preditivas, possibilita com o método quantitativo, explicar quais variáveis são significativas na formação dos preços praticados na revenda por meio do modelo de regressão linear múltiplo. Nesta etapa evidencia-se a contribuição em inferir quais variáveis explicam a formação de preços. De maneira secundária, a ferramenta estatística de Análise da Variância (Anova), possibilita identificar a vantagem do preço do etanol hidratado em relação à gasolina C no mercado interno. Pela regressão linear múltipla os resultados mostraram que os preços são formados significativamente pelos preços pagos ao produtor, distribuidora e custos de produção. Pela Anova, os resultados comprovaram também que a região Centro-Oeste foi a única que consolidou a vantagem do uso do etanol hidratado. Para ambos os resultados há reflexões explicativas que norteiam as razões e induzem predições acerca da formação de preços. Nesse sentido, uma reflexão estendida dos resultados permitiu analisar que a vantagem do uso do etanol hidratado na região Centro-Oeste, decorre das variáveis frota, bases de distribuição, tributos, produção e número de usinas produtoras. Com relação aos preços pagos ao produtor, distribuidora e custos de produção como principais variáveis explicativas na formação de preços, há evidências relativas por outras variáveis, que por mais que tenha sido apresentado coeficiente linear baixo, estes possuem relação causal, se complementados com a análise qualitativa, os quais, oferta, demanda, tributos e sazonalidade são, por exemplo, fatores que norteiam e dão complexidade à formação do preço / The purpose of the current study is to investigate the formation of the hydrated ethanol prices in the combustible market of the country. This research seeks to indentify how it is formed the price of the hydrated ethanol in the internal market. The theoretical conception comes from the comprehension of the prices formation involving costs, scale economy, market, economic and social factors in the price formation. Following, it is done the contextualization of the ethanol combustible in the internal market, as it is characterized its demand and offer, its technologies and its main propellers in the diffusion of the combustible market. It is complemented with the characterization of the international market of the ethanol combustible and with environment regulations existent. Integrating itself to the theoretical approach with the investigation done in the ethanol combustible sector. The work follows with the methodology investigated from internal and external attributes to the formation of the prices, what motivated the choice of a methodology based in qualifying and measurable studies, in which one complements the other in its analysis. Presenting a methodology of the descriptive, exploratory and explicative type, the research provides reflection and comprehension of the ethanol market, which by means of predictable qualitative variables, makes possible the quantitative method, explain which variable are significant in the formation of the prices practiced in the reselling by means of pattern of multiple linear regression. In this stage it is evidenced the contribution in inferring which variable explain the prices formation. In a secondary way, the statistic tool of Analysis of Variance (Anova), makes possible identify the advantage of the hydrated ethanol price in relation to the gasoline C in the internal market. By the multiple linear regression the results showed that the prices are formed significantly by the prices paid to the producer, distributor and production costs. By the Anova, the results prove also that the Center-West region was the only one that consolidated the advantage of the hydrated ethanol usage. For both the results there are explainable reflections that guide the reasons and induct predictions about the prices formation. In this way, an extended reflection of the results permitted to analyze that the advantage of the hydrated ethanol usage in the Center-West region, occurs from variable fleet, distribution basis, tributes, production and number of producer mill. In relation to the prices paid to the producer, distributor and production costs as main explainable variable in the prices formation, there are evidences related by other variables, which for more that have been presented low linear coefficient, there ones have casual relation, if complemented with the qualitative analysis, the ones which, offer, demand, tributes and seasonality are, as examples, factors that guide and give the complexity to the price formation