Skip to main content Accessibility help

The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results

  • Philip Garcia (a1), Michael A. Hudson (a1) and Mark L. Waller (a1)


The analysis examines quantitatively the findings of previous studies of the pricing efficiency of various agricultural markets using a logit framework. The findings provide insight into the importance of commodity characteristics, uncertainty, and testing procedures used on the results of past research of pricing efficiency. The study also identifies several areas for further research.



Hide All
Amemiya, T.Qualitative Response Models: A Survey.J. Econ. Lit., 19 (1981):14831536.
Barrilleaux-Pizzolatto, A., and Chhokar, J.. “Meta-Analysis: What's All the Fuss About?Amer. Bus. Rev., 3 (1985):1520.
Bigman, D., Goldfarb, D., and Schechtman, E.. “Futures Market Efficiency and the Time Content of the Information Sets.J. Futures Markets, 3 (1983):321334.
Bigman, D., and Goldfarb, D.. “Efficiency and Efficient Trading Rules for Food and Feed Grains in the World Commodity Markets: The Israeli Experience.J. Futures Markets, 5 (1985):110.
Brinegar, C.A Statistical Analysis of Speculative Price Behavior.Food Res. Inst. Stud., 9 (1970):157.
Canarella, G., and Pollard, S.. “Efficiency of Commodity Futures: A Vector Autoregression Analysis.J.Futures Markets, 5 (1985):5776.
Capps, O., and Kramer, R.. “Analysis of Food Stamp Participation Using Qualitative Choice Models.Amer. J. Agr. Econ., 67 (1985):4959.
Cargill, T., and Rausser, G.. “Time and Frequency Representations of Futures Prices as a Stochastic Process.J. Amer. Stat. Assoc., 67 (1972):2330.
Cargill, T., and Rausser, G.. “Temporal Price Behavior in Commodity Futures Markets.J. Finance, 30 (1975):10431053.
Fama, E.Efficient Capital Markets: A Review of Theory and Empirical Work.J. Finance, 25 (1970):383417.
Garrison, R.“Cattle Prices Take Random Walk.” Commodities Magazine, Oct. (1980):4648.
Giles, D., and Goss, B.. “Futures Prices as Forecasts of Commodity Spot Prices: Live Cattle and Wool.Australian J. Agr. Econ., 25 (1981):112.
Gordon, J. “The Distribution of Daily Changes in Commodity Futures Prices.” USDA-ERS Technical Bulletin 1702, 1985.
Helms, B., Kaen, F., and Rosenman, R.. “Memory in Commodity Futures Contracts.J. Futures Markets, 4 (1984):559568.
Helmuth, J.A Report on the Systematic Downward Bias in Live Cattle Futures Prices.J. Futures Markets, 1 (1981):347358.
Hunt, B.Short Run Price Cycles in the Sydney Wool Futures Market.Australian J. Agr. Econ., 18 (1974):133143.
Hunter, J., Schmidt, F., and Jackson, G.. Meta-Analysis Cumulating Research Findings Across Studies. Beverly Hills, CA: Sage Publications, Inc., 1982.
Irwin, H., and Brorsen, B.. “Public Future Funds.J. Futures Markets, 5 (1985):461486.
Just, R., and Rausser, G.. “Commodity Price Forecasting with Large-Scale Econometric Models and the Futures Market.Amer. J. Agr. Econ., 63 (1975):197208.
Kamara, A.Issues in Futures Markets: A Survey.J. Futures Markets, 2 (1982):261294.
Kofi, T.A Framework for Comparing the Efficiency of the Futures Markets.Amer. J. Agr. Econ., 55 (1972):584593.
Kolb, R., and Gay, G.. “The Performance of Live Cattle Futures as Predictors of Subsequent Spot Prices.J. Futures Markets, 3 (1983):5563.
Koppenhaver, G.The Forward Pricing Efficiency of the Live Cattle Futures Market.J. Futures Markets, 3 (1983):307320.
Labys, W., and Granger, C.. Speculation, Hedging and Commodity Price Forecasting. Lexington, MA: Heath Lexington Books, 1970.
Larson, A.Measurement of a Random Process in Futures Prices.Food Res. Inst. Stud., 1 (1960):313324.
Leath, M., and Garcia, P.. “The Efficiency of the Corn Futures Market in Establishing Forward Prices.No. Cent. J. Agr. Econ., 5 (1983):91101.
Lee, C, and Leuthold, R.. “Investment Horizon, Risk, and Returns in Commodity Futures Markets: An Empirical Analysis with Daily Data.Qtrly. Rev. Econ. and Bus., 23(1983):618.
Leuthold, R.Random Walk and Price Trends: The Live Cattle Futures Market.J. Finance, 27 (1972):879889.
Leuthold, R.. “The Price Performance of the Futures Market of a Nonstorable Commodity: Live Beef Cattle.Amer. J. Agr. Econ., 56 (1974):271279.
Leuthold, R., and Hartmann, P.. “A Semi-Strong Form Evaluation of the Efficiency of the Hog Futures Market.Amer. J. Agr. Econ., 61 (1979):482489.
Leuthold, R., and Hartmann, P.. “An Evaluation of Forward Pricing Efficiency of Livestock Futures Markets.No. Cent. J. Agr. Econ., 3 (1981):7180.
Leuthold, R., and Tomek, W.. “Developments in the Livestock Futures Markets.” In Livestock Futures Research Symposium, Leuthold, R..and Dixon, P., eds., Chicago Mercantile Exchange, 1979.
Mann, J., and Heifner, R.. “The Distribution of Short Run Commodity Price Movements.” USDA-ERS Technical Bulletin 1536. 1976.
Martell, T., and Helms, B.. “A Re-examination of Price Changes in the Commodity Futures Markets.” In International Futures Trading Seminar, Vol. 5. Chicago: Chicago Board of Trade, 1978.
Martell, T., and Philipatos, G.. “Adoptation Information and Dependence in Commodity Markets.J. Finance, 29 (1974):493498.
Martin, L., and Garcia, P.. “Price Forecasting Performance of Futures Markets for Live Cattle and Hogs.Amer. J. Agr. Econ., 63 (1981):209215.
Peck, A.The Economic Role of Traditional Commodity Futures Methods.” In Futures Markets: Their Economic Role. Peck, A., ed., American Enterprise Institute, Washington D.C., 1981.
Peterson, P., and Leuthold, R.. “Using Mechanical Trading Systems to Evaluate the Weak Form Efficiency of the Futures Market.So. J. Agr. Econ., 14 (1982):147151.
Pindyck, R., and Rubenfeld, D.. Econometric Models and Economic Forecasts. New York: McGraw-Hill, 1981.
Pluhar, D., Shafer, C., and Sporleder, T.. “The Systematic Downward Bias in Live Cattle Futures: A Further Evaluation.J. Futures Markets, 5 (1985):1120.
Purcell, W., and Hudson, M.. “The Economic Roles and Implications of Trade in Livestock Futures.” In Futures Markets: Regulatory Issues. Peck, A., ed., American Enterprise Institute for Public Policy Research, Washington D.C., 1985.
Rausser, G., and Carter, C.. “Futures Market Efficiency in the Soybean Complex.Rev. Econ. Stat, 65 (1983):469478.
Rausser, G., and Just, R.. “Agricultural Commodity Price Forecasting Accuracy: Futures Markets Versus Commercial Econometric Models.” In International Futures Trading Seminar, Vol. 6. Chicago: Chicago Board of Trade, 1979.
Smidt, S.A Test of the Serial Independence of Price Changes in Soybean Futures.Food Res. Inst. Stud., 5 (1965):117136.
Spriggs, J.Forecasts of Indiana Monthly Farm Prices Using Univariate Box-Jenkins Analysis and Corn Futures Prices.No. Cen. J. Agr. Econ., 3 (1981):8187.
Stein, J.Speculative Price: Economic Welfare and the Idiot of Chance.Rev. Econ. Stat, 63 (1981):223232.
Stevenson, R., and Bear, R.. “Commodity Futures Trends or Random Walk.J. Finances, 25 (1970):6581.
Tomek, W., and Gray, R.. “Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Role.Amer. J. Agr. Econ., 52 (1970):372380.
Working, H.The Investigation of Economic Expectations.Amer. Econ. Rev., 39 (1949):150166.
Working, H.Price Effects of Scalping and Day Trading.” In Selected Writings of Holbrook Working. Chicago: Chicago Board of Trade, 1977.


The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results

  • Philip Garcia (a1), Michael A. Hudson (a1) and Mark L. Waller (a1)


Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed