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1979•American Journal of Agricultural EconomicsRequires access

A Semi‐Strong Form Evaluation of the Efficiency of the Hog Futures Market

Raymond M. Leuthold, Peter A. Hartmann

Open publisher page 89 citations

Abstract

Abstract Forward pricing is a primary role of livestock futures markets. A semi‐strong form test of efficiency examines whether or not the prices in a market reflect all publicly available information. An econometric forecasting model is constructed to serve as a norm against which to test futures market forward‐pricing abilities. Utilizing alternative methods of evaluation, results demonstrate that the live‐hog futures market cannot be relied upon to reflect accurately and consistently subsequent cash prices; hence, it is inefficient.

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What this paper is about

Abstract Forward pricing is a primary role of livestock futures markets. A semi‐strong form test of efficiency examines whether or not the prices in a market reflect all publicly available information. An econometric forecasting model is constructed to serve as a norm against which to test futures market forward‐pricing abilities. Utilizing alternative methods of evaluation, results demonstrate that the live‐hog futures market cannot be relied upon to reflect accurately and consistently subsequent cash prices; hence, it is inefficient.

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Available abstract

Abstract Forward pricing is a primary role of livestock futures markets. A semi‐strong form test of efficiency examines whether or not the prices in a market reflect all publicly available information. An econometric forecasting model is constructed to serve as a norm against which to test futures market forward‐pricing abilities. Utilizing alternative methods of evaluation, results demonstrate that the live‐hog futures market cannot be relied upon to reflect accurately and consistently subsequent cash prices; hence, it is inefficient.

Key concepts: Futures contract, Futures market, Economics, Forward market, Financial economics, Cash, Market efficiency, Market price

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