LIVESTOCK MARKET INTEGRATION AND PRICE DYNAMICS IN THE UNITED STATES

Kazi Tamim Rahman, Morsalina Akter, M.A. Monayem Miah and M. Salauddin Palash

Bangladesh Journal of Agricultural Economics, 2020, vol. 40, issue 01&2

Abstract: This study examines livestock market integration and price dynamics in the United States using weekly price series of five major livestock market from October 2005 to March 2015. Engle-Granger and Gregory-Hansen bivariate co-integration tests and Johansen multivariate co-integration test were employed to measure integration among spatially separated markets. Price dynamics among livestock markets were investigated by the Vector Error Correction model. The result indicates that all markets are co-integrated with sharing a common stochastic trend suggesting the ‘Law of One Price’. The long-run and short-run dynamics of price suggest that the transmission of price changes from one market to another market during the same week is very fast. Livestock markets in the United States are well integrated reflecting satisfactory level of price discovery and market efficiency.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/304092/files/Rahman.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:bdbjaf:304092

DOI: 10.22004/ag.econ.304092

Access Statistics for this article

More articles in Bangladesh Journal of Agricultural Economics from Bangladesh Agricultural University Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().