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Livestock Market Integration And Price Dynamics In The United States

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  • Rahman, Kazi Tamim
  • Akter, Morsalina
  • Miah, M.A. Monayem
  • Palash, M. Salauddin

Abstract

This study examines livestock market integration and price dynamics in the United States using weekly price series of five major livestock market from October 2005 to March 2015. Engle-Granger and Gregory-Hansen bivariate co-integration tests and Johansen multivariate co-integration test were employed to measure integration among spatially separated markets. Price dynamics among livestock markets were investigated by the Vector Error Correction model. The result indicates that all markets are co-integrated with sharing a common stochastic trend suggesting the ‘Law of One Price’. The long-run and short-run dynamics of price suggest that the transmission of price changes from one market to another market during the same week is very fast. Livestock markets in the United States are well integrated reflecting satisfactory level of price discovery and market efficiency.

Suggested Citation

  • Rahman, Kazi Tamim & Akter, Morsalina & Miah, M.A. Monayem & Palash, M. Salauddin, 2020. "Livestock Market Integration And Price Dynamics In The United States," Bangladesh Journal of Agricultural Economics, Bangladesh Agricultural University, vol. 40(1&2), February.
    • Handle: RePEc:ags:bdbjaf:304092
    DOI: 10.22004/ag.econ.304092
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    References listed on IDEAS

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