The objective of this paper is to evaluate the evidence of causality between the future and spot markets of stocks in Brazil, verifying if the former has unstabilized the latter, thus increasing its volatility. We analyse a period that includes external shocks and changes in the exchange rate policy. Causality from future to spot markets is tested using both the volatilities cross-correlogram and a bivariate GARCH model. The results allow us to state that the spot market leads the information transmission of the market. Thus the future market does not cause increase of volatility in the spot market.
