The Forward-Pricing Efficiency of The Live-Hog Futures Market
Hartmann, Peter Alexander
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https://hdl.handle.net/2142/66776
Description
Title
The Forward-Pricing Efficiency of The Live-Hog Futures Market
Author(s)
Hartmann, Peter Alexander
Issue Date
1979
Department of Study
Agricultural Economics
Discipline
Agricultural Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Agricultural
Language
eng
Abstract
Survey results indicate that some hog producers use the live-hog futures price as the expected cash price, as such the futures price is an important piece of information to the hog producer.
This study is concerned with the quality of this information in terms of its accuracy in predicting the cash price. The objective of the study is to evaluate the forward-pricing efficiency of the live-hog futures market. In order to test this efficiency a semi-strong form test of market efficiency is applied. A market is said to be semi-strong efficient if it utilizes all publically available market information. To apply the semi-strong form test an econometric model of the live-hog sector is built. Price predictions are generated from this model which are used as a norm against which futures prices are compared. Two different measures are used to compare the prices.
The results indicate that for certain periods during 1971 and 1976, the live-hog futures market did not utilize all available information or utilized it incorrectly, and it is concluded that the live-hog futures market is an inefficient market.
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