IDEAS home Printed from https://ideas.repec.org/a/oup/ajagec/v66y1984i4p499-504..html
   My bibliography  Save this article

Basis Risk: Measurement and Analysis of Basis Fluctuations for Selected Livestock Markets

Author

Listed:
  • Philip Garcia
  • Raymond M. Leuthold
  • Mohamed E. Sarhan

Abstract

Unanticipated basis changes can reduce the ability of futures markets to transfer risk and can affect income levels of producers and market participants. This study examines short-term basis risk, defined as the variance of the random component of the basis over time, for several Midwest livestock markets. Basis risk is related to several factors influencing the long-term pattern in the time series and unexpected changes in price. Little evidence is found that basis risk changed as maturity approached or that risk varied across markets except for the Interior Iowa hog market.

Suggested Citation

  • Philip Garcia & Raymond M. Leuthold & Mohamed E. Sarhan, 1984. "Basis Risk: Measurement and Analysis of Basis Fluctuations for Selected Livestock Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(4), pages 499-504.
  • Handle: RePEc:oup:ajagec:v:66:y:1984:i:4:p:499-504.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2307/1240929
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Unterschultz, James R., 2000. "New Instruments For Co-Ordination And Risk Sharing Within The Canadian Beef Industry," Project Report Series 24046, University of Alberta, Department of Resource Economics and Environmental Sociology.
    2. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Coffey, Brian K. & Tonsor, Glynn T. & Schroeder, Ted C., 2018. "Impacts of Changes in Market Fundamentals and Price Momentum on Hedging Live Cattle," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(1), January.
    4. Evans, Kevin J. & Streeter, Deborah H. & Hudson, Michael A., 1992. "An Integrated Approach to Modeling Price Volatility in the Live Cattle Futures Market," Staff Papers 121352, Cornell University, Department of Applied Economics and Management.
    5. Anaman, Kwabena A. & Boggess, William G., 1986. "A Stochastic Dominance Analysis Of Alternative Marketing Strategies For Mixed Crop Farms In North Florida," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 18(2), pages 1-9, December.
    6. Capitani, Daniel H.D. & Mattos, Fabio, 2015. "Feasibility of new agricultural futures contract: a study in the Brazilian rice market," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205565, Agricultural and Applied Economics Association.
    7. Unknown, 1990. "Structural Change in Livestock: Causes, Implications, Alternatives," Research Institute on Livestock Pricing 232728, Virginia Polytechnic Institute and State University, Department of Agricultural and Applied Economics.
    8. Rochelle, Thereza Christina Pippa & Filho, Joaquim Bento de Souza Ferreira, 2000. "Cash Settlement Impact on Fed Cattle Futures Contract Basis Risk in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 54(2), April.
    9. Shafer, Carl E., 1992. "Hedge Ratios and Basis Behavior: An Intuitive Insight?," Faculty Paper Series 257887, Texas A&M University, Department of Agricultural Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:ajagec:v:66:y:1984:i:4:p:499-504.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.