Hog Options: Contract Redesign and Market Efficiency

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.


Issue Date:
2010-11
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/100518
Published in:
Journal of Agricultural and Applied Economics, Volume 42, Number 4
Page range:
773-790
Total Pages:
18
JEL Codes:
C15; G12; G14; Q13




 Record created 2017-04-01, last modified 2017-11-17

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