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A Trading Simulation Test for Weak-Form Efficiency in Live Cattle Futures

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  • Kastens, Terry
  • Schroeder, Ted C.

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.

Suggested Citation

Handle: RePEc:ags:nc8191:285621
DOI: 10.22004/ag.econ.285621
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