This study aims analyzes the volatility and transmission of international milk prices to the prices in the main Brazilian markets. In theory, the integration between interacting markets suggests that one or more markets tend to lead the other markets when there are price fluctuations. This work investigates the premise of price transmission from the major milk producing countries/exporting conglomerates (the European Union, New Zealand, the USA, Argentina and Uruguay) to the main Brazilian markets, in the period 2012 to 2017. This analysis included the cointegration test, which allowed us to verify the hypothesis of equilibrium of the long-term relationship between milk prices in the international and Brazilian markets, and breakdown of analysis of variance, which enabled us to evaluate the relative participation of fluctuations in milk prices in the international markets in the price fluctuations of the main Brazilian markets. The results show that a potential shock in the international dairy market is effectively transmitted to the Brazilian markets, which persists in the long term, in a relationship of balance. It was concluded that over the six-month period studied, about a quarter of milk price fluctuations in the main Brazilian markets were caused by changes in the prices of the main international dairy markets, particularly those of Uruguay, New Zealand and the USA.