Hostname: page-component-586b7cd67f-tf8b9 Total loading time: 0 Render date: 2024-11-24T21:53:42.587Z Has data issue: false hasContentIssue false
  • English
  • Français

The Response of Futures Prices to New Market Information: The Case of Live Hogs

Published online by Cambridge University Press:  28 April 2015

Steve Miller
Steve Miller*
Affiliation:
Department of Agricultural Economics and Rural Sociology, Clemson University
Get access Rights & Permissions [Opens in a new window]

Extract

Writing about empirical tests of stock market efficiency, Fama et al. [2, p. 1] noted that

“… the usual procedure has been to infer market efficiency from the observed independence of successive price changes. There has been very little actual testing of the speed of adjustment of prices to specific kinds of new information.”

Type
Research Article
Information
Journal of Agricultural and Applied Economics , Volume 11 , Issue 1 , July 1979 , pp. 67 - 70
Copyright
Copyright © Southern Agricultural Economics Association 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1] Cargill, T. F. and Rauser, G. C.. “Time and Frequency Domain Representations of Futures Prices as a Stochastic Process,” Journal of the American Statistical Association, Volume 67, 1972, pp. 23–30.Google Scholar
[2] Fama, E. F., Fisher, L. Jensen, M. C., and Roll, R.. “The Adjustment of Stock Prices to New Information,” International Economic Review, Volume 10, 1969, pp. 1–21.Google Scholar
[3] Gorman, M. “Public and Private Sector Information in Agricultural Commodity Markets,” Economic Review (Federal Reserve Bank of San Francisco), Spring 1978, pp. 30–38.Google Scholar
[4] Larson, A. B. “Measurement of a Random Process in Futures Prices,” Food Research Institute Studies, Volume 1, 1960, pp. 313–324.Google Scholar
[5] Leuthold, R. M. “Evaluating the Performance of the Live Beef Cattle Futures Contract,” Illinois Agricultural Economics, Volume 15, 1975, pp. 21–25.Google Scholar
[6] Leuthold, R. M. “The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef Cattle,” American Journal of Agricultural Economics, Volume 56, 1974, pp. 271–279.Google Scholar
[7] Leuthold, R. M. “Random Walk and Price Trends: The Live Cattle Futures Market,” Journal of Finance, Volume 27, 1972, pp. 879–889.Google Scholar
[8] Leuthold, R. M. and Hartman, P. A.. “A Semi-Strong Form Evaluation of the Hog Futures Market with a Jacknife Model,” unpublished manuscript, University of Illinois, 1978.Google Scholar
[9] Pearson, D. and Houck, J. P.. “Price Impacts of SRS Crop Production Reports: Corn, Soybeans, and Wheat,” unpublished manuscript, University of Minnesota, April 1977.Google Scholar
[10] Stevenson, R. A. and Bear, R. M.. “Commodity Futures: Trends or Random Walks?” Journal of Finance, Volume 25, 1970, pp. 65–81.Google Scholar