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Random Walk and Price Trends: The Live Cattle Futures Market

Citations

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Cited by:

  1. Sanjay Sehgal & Asheesh Pandey, 2012. "Strategic Allocation, Asset Pricing and Prior Return Patterns: Evidence from Indian Commodity Market," Vision, , vol. 16(4), pages 273-281, December.
  2. Barry A. Goss & S. Gulay Avsar & Siang‐Choo Chan, 1992. "Rational Expectations and Price Determination in the US Oats Market," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 16-26, December.
  3. Oliveira, Ronald A. & O'Connor, Carl W. & Smith, Gary W., 1979. "Short-Run Forecasting Models Of Beef Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 4(1), pages 1-12, July.
  4. Blank, Steven C., 1984. "Cross Hedging Australian Cattle," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 28(2-3), pages 1-10, August.
  5. Peterson, Paul E. & Leuthold, Raymond M., 1982. "Using Mechanical Trading Systems To Evaluate The Weak Form Efficiency Of Futures Markets," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 14(1), pages 1-5, July.
  6. 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.
  7. Kapil Gupta & Balwinder Singh, 2009. "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 191-250, May.
  8. Yasemin Hafizogullari & Stanislaus Maier-Paape & Andreas Platen, 2014. "Empirical Study of the 1-2-3 Trend Indicator," Papers 1409.5321, arXiv.org.
  9. Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency Of Agricultural Futures Markets: An Analysis Of Previous Research Results," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(1), pages 1-12, July.
  10. Hauser, Robert J. & Anderson, Dane K., 1984. "Modifying Traditional Option Pricing Formulae For Options On Soybean Futures," 1984 Annual Meeting, August 5-8, Ithaca, New York 279099, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  11. Cox, Linda & Sporleder, Thomas L. & Chavas, Jean-Paul, 1982. "Cash Market Tests of the Weak Form Efficient Market Hypothesis," 1982 Annual Meeting, August 1-4, Logan, Utah 279133, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  12. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  13. Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
  14. John Anderson & Robert W Faff, 2003. "Optimal f and Portfolio Return Optimisation in US Futures Markets," School of Economics and Finance Discussion Papers and Working Papers Series 133, School of Economics and Finance, Queensland University of Technology.
  15. repec:ags:vtaesp:232463 is not listed on IDEAS
  16. Gross, Martin, 1985. "A test of the efficiency of the aluminium and copper markets at the London Metal Exchange," Kiel Working Papers 243, Kiel Institute for the World Economy (IfW Kiel).
  17. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
  18. Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2020. "Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 825-840, November.
  19. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
  20. Gupta, Sanjeev & Mayer, Thomas, 1981. "A test of the efficiency of futures markets in commodities," Kiel Working Papers 119, Kiel Institute for the World Economy (IfW Kiel).
  21. Purcell, Wayne D. & Riffe, Don A., 1980. "The Impact Of Selected Hedging Strategies On The Cash Flow Position Of Cattle Feeders," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 12(1), pages 1-9, July.
  22. Walter Labys, 2005. "Commodity Price Fluctuations: A Century of Analysis," Working Papers Working Paper 2005-01, Regional Research Institute, West Virginia University.
  23. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
  24. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
  25. Yun, Won-Cheol & Purcell, Wayne D., 1995. "Impact of Deductibility of Futures Losses on Cattle Feeders' Involvement and the Effectiveness of the Price Discovery Process," Staff Papers 232514, Virginia Polytechnic Institute and State University, Department of Agricultural and Applied Economics.
  26. Praveen Kumar Tripathi & Manika Agarwal, 2024. "A Bayes Analysis of Random Walk Model Under Different Error Assumptions," Annals of Data Science, Springer, vol. 11(5), pages 1635-1652, October.
  27. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
  28. repec:rri:wpaper:200501 is not listed on IDEAS
  29. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
  30. Schnake, Kristin N. & Karali, Berna & Dorfman, Jeffrey H., 2012. "The Informational Content of Distant-Delivery Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), pages 1-15, August.
  31. Pan, Ming-Shiun & Chan, Kam C. & C.W. Fok, Robert, 1997. "Do currency futures prices follow random walks?," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 1-15, January.
  32. John Anderson, 2003. "A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads," School of Economics and Finance Discussion Papers and Working Papers Series 134, School of Economics and Finance, Queensland University of Technology.
  33. Vogelvang, E., 1981. "A quarterly econometric model for the price formation of coffee on the world market," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  34. Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
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