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

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thesis
posted on 27.04.2022, 17:32 authored by Samuel Elisha MeffordSamuel Elisha Mefford

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.

History

Degree Type

Master of Science

Department

Agricultural Economics

Campus location

West Lafayette

Advisor/Supervisor/Committee Chair

Mindy Mallory

Additional Committee Member 2

Todd Kuethe

Additional Committee Member 3

Tor Tolhurst