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

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  • RAYMOND M. LEUTHOLD
  • PHILIP GARCIA
  • NABIL CHAHERLI

Abstract

The price leadership roles among hog cash and futures markets are assessed to locate points of price discovery and to examine flows of information among these markets. Several years of data are analyzed using lead/lag causality analysis and strength of linear causality measures. Although significant instantaneous relationships exist among hog cash and futures markets, one‐way causality tests indicate that generally the futures market dominates cash hog markets in the price discovery process.

Suggested Citation

  • Raymond M. Leuthold & Philip Garcia & Nabil Chaherli, 1992. "Information, Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 27-33, December.
    • Handle: RePEc:bla:ecorec:v:68:y:1992:i:s1:p:27-33
    DOI: 10.1111/j.1475-4932.1992.tb02293.x
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    References listed on IDEAS

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    1. Van Winkle, Tyler W. & Schroeder, Ted C., 2008. "Spatial Price Discovery, Dynamics, and Leadership in Evolving Distiller’s Grain Markets," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6933, Southern Agricultural Economics Association.

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