Changes in the pork chain bring about the discussion whether the wholesale sector has the leadership of price transmission and also if prices are efficient market indicators. The paper aims to identify what segment is the price leader in the pork chain and also to characterize the price volatility considering producer, wholesale and retail prices for the state of São Paulo between 1995 and 2005. The data analysis was conducted by estimating a VAR model which included an ARCH process for measuring price volatility. A Granger causality test was also implemented to check the price direction transmission. The results pointed out that price transmission occurs from wholesale to producer sectors and also that the price conditional variance for the wholesale sector is transmitted to producer and retail prices.