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Correlations go to one in a crisis: Did the COVID-19 market crash bring cattle futures and equities together?

<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>

  1. 10.25394/pgs.19666275.v1
Identiferoai:union.ndltd.org:purdue.edu/oai:figshare.com:article/19666275
Date27 April 2022
CreatorsSamuel Elisha Mefford (12468390)
Source SetsPurdue University
Detected LanguageEnglish
TypeText, Thesis
RightsCC BY 4.0
Relationhttps://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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