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A trading simulation test for weak‐form efficiency in live cattle futures

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  • Terry L. Kastens
  • Ted C. Schroeder

Abstract

Potential for downward bias or inefficiency in live catle futures has been an issue of concern for about as long as this market has existed. Past research exists to support whatever preconception a researcher may have. Although using statistical tests to reject null hypotheses is usually a necessary condition for concluding market inefficiency, the sufficient condition is demonstration of the potential extraction of abnormal profits for that market (Garcis et al. 1988b; DeCoster, Labys, and Mitchell 1992). This paper clarifies the vagueness of that sufficient condition by examining trading simulations over time. The objective is to provide a credible trading simulation test of live cattle futures efficiency.
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Suggested Citation

  • Terry L. Kastens & Ted C. Schroeder, 1995. "A trading simulation test for weak‐form efficiency in live cattle futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(6), pages 649-675, September.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:6:p:649-675
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    Cited by:

    1. Cole, Christine A. & Kastens, Terry L. & Hampel, Frederick A., 1999. "A Calendar Spread Trading Simulation of Seasonal Processing Spreads," 1981-1999 Conference Archive 285759, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Hampel, Frederick A. & Schroeder, Ted C., 1998. "Risk and Expected Returns in Cattle Feeding," 1981-1999 Conference Archive 285722, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Parcell, Joe & Schroeder, Ted & Kastens, Terry, 1998. "Perceptions of Marketing Efficiency and Strategies: Research vs. Extension Marketing Economists," 1981-1999 Conference Archive 285714, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    4. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.

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