Comparative static results suggest that if futures markets improve cash market efficiency as expected then the variance of cash prices should increase. Empirical results with live cattle confirm the theoretical model. Cash prices for live cattle at Omaha showed increased daily variability after live cattle futures trading began on the Chicago Mercantile Exchange. The speed with which changes· occurred were also greater after the advent of futures trading. The results imply greater cash market efficiency with futures but more large short-run price changes.