An Analysis of the Cattle Feeding Spread in the U.S

Qingfeng Wilson Liu and Hui He Sono ()
Additional contact information
Qingfeng Wilson Liu: James Madison University, Harrisonburg, VA, USA
Hui He Sono: James Madison University, Harrisonburg, VA, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2025, vol. 28, issue 03, 1-28

Abstract: This study examines the relations among feeder cattle, corn, and live cattle futures listed on the Chicago Mercantile Exchange (CME), the components of the cattle feeding spread. We find that the three series are cointegrated, and that the cointegration relationship is characterized by strong seasonality and uptrend. Further, there is evidence of one-way information flow and volatility spillover from the feeder cattle and corn markets to the live cattle market, and bidirectional volatility spillover between the feeder cattle and corn markets. Our in-sample trading simulations that utilize this cointegration relationship are able to generate profits that are both statistically and economically significant, suggesting inefficiency exists in these commodity futures markets. This is, to a certain extent, corroborated by the results from our out-of-sample trading simulations that employ similar trading rules.

Keywords: Cattle feeding spread; cointegration; information flow; volatility spillover; market efficiency (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091525500195
Access to full text is restricted to subscribers

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:wsi:rpbfmp:v:28:y:2025:i:03:n:s0219091525500195

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091525500195

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().