<p>This study investigates cattle futures response to the equities crash in March of 2020 and the subsequent COVID-19 linked production delays at beef packing plants. I observe that the initial declines in cattle futures began prior to the onset of beef packing plant shutdowns. Fitting a Vector Error Correction Model on live cattle futures, feeder cattle futures, and corn futures to the E-Mini S&P 500 futures contract finds evidencethat 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.</p>
| Identifer | oai:union.ndltd.org:purdue.edu/oai:figshare.com:article/19666275 |
| Date | 27 April 2022 |
| Creators | Samuel Elisha Mefford (12468390) |
| Source Sets | Purdue University |
| Detected Language | English |
| Type | Text, Thesis |
| Rights | CC BY 4.0 |
| Relation | https://figshare.com/articles/thesis/Correlations_go_to_one_in_a_crisis_Did_the_COVID-19_market_crash_bring_cattle_futures_and_equities_together_/19666275 |
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