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