Abstract
This research analyzed information contained in weekly sorghum, corn and feeder cattle prices at Texas producer/first handler markets and Kansas City terminal markets and determined weak form efficiency of these markets. If past prices yield information about present price, the market is inefficient in the weak form sense. Price changes in one market may precede changes in other markets and may show how prices adjust to information. Information about present Texas and Kansas City sorghum prices is contained in the previous two weeks' prices: neither market is efficient in the weak form sense. The relationship between past and present prices in Texas markets is positive: prices adjust gradually to information. The relationship between past and present prices in Kansas City markets is negative: price first overadjusts to information and then readjusts. Information about present Texas and Kansas City corn prices is contained in the previous four and five weeks' prices, respectively: neither market is efficient. The relationship between past and present prices in both markets is negative the first two weeks, positive the next two, and negative, in the Kansas City market, for the fifth: price first overadjusts to information and then readjusts. Past prices of Texas 400-pound feeder cattle reflect no present price information. Kansas City 500- and 600-pound feeder cattle prices are reflected in the previous eight and 12 weeks' prices, respectively. The Texas feeder cattle market is efficient, but the Kansas City feeder markets are inefficient. The signs of the relationships in the Kansas City markets are positive at first and then alternate: prices first overadjust to information and then readjust. Price increases in corn or sorghum markets are followed by a positive change in feeder prices by three weeks, a negative change in feeder prices by -19 weeks and a positive change in feeder prices by 39 weeks. However, only the size of the relationship that occurs by 39 weeks between corn or sorghum and feeder cattle prices is significant. Texas sorghum prices increase during a three-week period following an increase in Kansas City corn prices.
Cox, Linda Joan (1982). The economics of information in agricultural commodity markets. Texas A&M University. Texas A&M University. Libraries. Available electronically from
https : / /hdl .handle .net /1969 .1 /DISSERTATIONS -361665.