In the agribusiness context, the milk market is an important economic sector. Therefore, this study aims to determine whether milk prices are correlated with prices of products apparently correlated, such as coffee, sugar and live cattle. We use a robust methodology, namely the correlation coefficient from the Detrended Cross-Correlation Analysis, with daily data between October 2011 and June 2020. We find there is significant correlation only between milk and coffee in the long run. Our results are of interest for agents involved in the dairy production chain, in terms of portfolio diversification strategies, as well as for policy-makers in this important sector of agribusiness and with a relevant consumer market.