Information, Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs

Abstract

The price leudership roles umong hog cush and futures markets are assessed to locate points of price discovery and to examine flows of information umong these markets. Several yeurs of dutu are analyzed using leadflag causulity analysis und strength of linear cuusulity meusures. Although sign$cant instuntuneous relationships exist umong hog cash and futures markets, one-wuy causality tests indicute that generully the futures rnurket dominates cush hog murkets in the price discovery process.Journul of Agriculruml h n o m i c s 12.202-IS. 10, 123-36. 297-303. 329-76.

Information shares in Canadian agricultural cash and futures markets

“…This causality relationship, however, is sometimes reversed and cash prices lead futures prices. Leuthold et al (1992) also find that the futures market generally dominates the spot hogs market. In the energy commodity markets, Schwarz and Szakmary (1994) show that the futures market dominates the light sweet crude oil, heating oil 2 and unleaded gasoline cash markets.…”

Ex ante basis risk in the live hog futures contract: Has hedgers' risk increased?

“…Previous research has registered high correlations among hog markets using both daily price levels and thcir changes, particularly for the markets in the important producing states [Stigler and Sherwin (1988). and Leuthold, Garcia, and Chaherli (1992)l. 'The basis is characterized by time-dependent variance, but it is not of the ARCH type.…”