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A Semi‐Strong Form Evaluation of the Efficiency of the Hog Futures Market
Author(s) -
Leuthold Raymond M.,
Hartmann Peter A.
Publication year - 1979
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1239434
Subject(s) - futures contract , futures market , economics , forward market , financial economics , cash , market efficiency , market price , microeconomics , econometrics , finance
Forward pricing is a primary role of livestock futures markets. A semi‐strong form test of efficiency examines whether or not the prices in a market reflect all publicly available information. An econometric forecasting model is constructed to serve as a norm against which to test futures market forward‐pricing abilities. Utilizing alternative methods of evaluation, results demonstrate that the live‐hog futures market cannot be relied upon to reflect accurately and consistently subsequent cash prices; hence, it is inefficient.