Rational expectations and market efficiency in the U.S. live cattle futures market: the role of proprietary information
Article Abstract:
The role of proprietary information in forecasting and market efficiency in the U.S. live cattle futures market is investigated. A test was conducted to check whether the initial estimates in the USDA Cattle on Feed Report and the Knight-Ridder pre-release forecasts are unbiased and efficient forecasts of final revised USDA Cattle on Feed Report numbers using a unique proprietary data source collected by a private firm.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
The impact of electronic trading on bid-ask spreads: evidence from futures markets in Hong Kong, London, and Sydney
Article Abstract:
New evidence of the impact of electronic trading on bid-ask spreads in futures markets is provided by examining bid-ask spreads around changes in trading systems used by three major futures exchanges. The examination suggests that the performance of electronic trading system deteriorates during periods of information arrival.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
Clustering in the futures market: evidence from S&P 500 futures contracts
Article Abstract:
Trade price clustering in the futures markets is documented. A high degree of clustering in the daily opening and closing prices, but a lower degree of clustering in the settlement prices is reported.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Generation that set the style. State of the bio-nation. Hey, big spender
- Abstracts: Economic and stock market commentary. The Value Line view: economic and stock market commentary. Market monitor
- Abstracts: Foreign electronics/entertainment industry. Foreign electronics/entertainment
- Abstracts: Philanthropy gives more: Australian philanthropists should be encouraged in their efforts to improve society. Giving is growing
- Abstracts: Creating brand assets. Connecting to customers. The right message