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The Reaction Of Live Hog Futures Prices To Usda Hogs And Pigs Reports

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  • Colling, Phil L.
  • Irwin, Scott H.

Abstract

Strong concerns about how efficiently live hog futures prices react to USDA Hogs and Pigs ~eports have been raised by livestock producer groups. Using market survey data, direct tests of the'efficient markets hypothesis are . . performed for the live hog futures market. Two-limit tobit·models account for institutional price limits. Results support the effisien~ market hypothesis in that live hog futures prices: {I) do not react to anticipated changes in .. . ., rep~rted infcirmation, {2) do react significantly and in the expected direction to unanticipated changes in reported information and {3) general1y adjust to unanticipated information on the day following release of the Reports.

Suggested Citation

  • Colling, Phil L. & Irwin, Scott H., 1989. "The Reaction Of Live Hog Futures Prices To Usda Hogs And Pigs Reports," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270490, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea89:270490
    DOI: 10.22004/ag.econ.270490
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    References listed on IDEAS

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    1. Koontz, Stephen R. & Hudson, Michael A. & Purcell, Wayne D., 1984. "The Impact Of Hog And Pig Reports On Live Hog Futures Prices: An Event Study Of Market Efficiency," 1984 Annual Meeting, August 5-8, Ithaca, New York 278981, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
    3. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-146, January.
    4. Miller, Stephen E., 1979. "The Response Of Futures Prices To New Market Information: The Case Of Live Hogs," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 11(1), pages 1-4, July.
    5. Roley, V Vance, 1983. "The Response of Short-Term Interest Rates to Weekly Money Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 344-354, August.
    6. Thompson, Sarahelen R. & Waller, Mark L., 1987. "The Execution Cost of Trading in Commodity Futures Markets," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 20(2), pages 1-24.
    7. Miller, Steve, 1979. "The Response of Futures Prices to New Market Information: The Case of Live Hogs," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 11(1), pages 67-70, July.
    8. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    9. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
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    Cited by:

    1. 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.
    2. Koontz, Stephen R. & Hudson, Michael A. & Hughes, Matthew W., 1992. "Livestock Futures Markets And Rational Price Formation: Evidence For Live Cattle And Live Hogs," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 24(1), pages 1-17, July.

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