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Information, Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs
Author(s) -
LEUTHOLD RAYMOND M.,
GARCIA PHILIP,
CHAHERLI NABIL
Publication year - 1992
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.1992.tb02293.x
Subject(s) - price discovery , futures contract , causality (physics) , cash , economics , financial economics , econometrics , futures market , monetary economics , business , finance , physics , quantum mechanics
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.