The 'New' Live Cattle Futures Contract: Basis Issues

Practical issues for live cattle basis calculation are explored. Significant differences were found when cash volume weights and mean futures prices were used in basis calculations rather than equal weighting and settlement futures prices. Using settlement futures prices rather than mean futures pri...

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Bibliographic Details
Main Authors Murphy, Rob, Boris, Keith
Format Conference Proceeding
LanguageEnglish
Published 01.04.1997
Edition2203
SeriesNCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Subjects
Agricultural marketing
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Summary:Practical issues for live cattle basis calculation are explored. Significant differences were found when cash volume weights and mean futures prices were used in basis calculations rather than equal weighting and settlement futures prices. Using settlement futures prices rather than mean futures prices is probably acceptable for studies considering basis over a long period. Changes to the live cattle contract in June 1995 have caused the basis to become more negative. Day-to-day variability in the basis has changed little under the new contract specifications, but month-to-month variability has been reduced significantly.
DOI:10.22004/ag.econ.285695