Price Connectedness in the Futures Markets of Livestock Commodities

Panagiotou Dimitrios ()
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Panagiotou Dimitrios: Department of Economics, University of Ioannina, Ioannina, Greece

Journal of Agricultural & Food Industrial Organization, 2025, vol. 23, issue 1, 51-58

Abstract: The present study investigates the linkages among the futures prices of feeder cattle, live cattle and lean hogs in the US. This has been pursued using a flexible methodology that allows modelling price relationships at different parts of their joint distribution. Data are daily closing prices for the period between 1/1/2015 and 12/31/2023. According to the empirical results: i) livestock commodities boom together and crash (with one exception) together, ii) extreme price decreases are transmitted with higher intensity compared to extreme price increases, iii) transmission asymmetries in prices, between livestock commodities, can occur at the tails as well as at the median of the joint distributions. Lastly, opportunities for speculators to profit from the spread between the commodities of feeder cattle and live cattle can be present.

Keywords: livestock commodities; futures prices; connectedness; quantiles (search for similar items in EconPapers)
JEL-codes: C58 D47 Q14 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1515/jafio-2024-0059

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