Hog Options: Contract Redesign and Market Efficiency

Hernan A. Urcola and Scott Irwin

Journal of Agricultural and Applied Economics, 2010, vol. 42, issue 4, 18

Abstract: This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings indicate that the hog options market is efficient and is consistent with the new contract improving the efficiency of the market. However, other market conditions such as lower transaction costs during the lean hogs period can also contribute to reduce expected option returns during the latter period.

Keywords: Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Production Economics; Productivity Analysis; Public Economics; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Hog Options: Contract Redesign and Market Efficiency (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:joaaec:100518

DOI: 10.22004/ag.econ.100518

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