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Correlations Go to One in a Crisis: Did the COVID 19 Market Crash Bring Cattle Futures and Equities Together?

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  • Mefford, Eli
  • Mallory, Mindy

Abstract

We investigate the impacts of Covid-19 on cattle futures markets during the first half of 2020. This study focuses on cattle futures response to the equities crash in March of 2020 and the Covid-linked production delays at beef packing plants. We observe that the initial declines in cattle futures began prior to the onset of beef packing plant shutdowns. Analysis comparing live cattle contracts, feeder cattle contracts, and corn contracts to the E-Mini S&P 500 futures contract finds evidence that the S&P 500 had a significant impact on cattle prices during March of 2020. These results are an example of increased cross asset correlation during periods of financial distress.

Suggested Citation

  • Mefford, Eli & Mallory, Mindy, 2021. "Correlations Go to One in a Crisis: Did the COVID 19 Market Crash Bring Cattle Futures and Equities Together?," 2021 Conference 316403, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nccc21:316403
    DOI: 10.22004/ag.econ.316403
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