Take two hog panels, wire them together to form a "ring" (there will be some overlap at each end...but one alone is not long enough to go around). Wire the areas where they "meet" tightly to keep the pokey ends from being out there to scratch the horses. We have even gone so far as to zip tie pool noodles around the top edge because we had one girl that was an expert at scraping herself on the little knobby ends at the top. For us it was no investment as this was stuff we had laying around, but you'd probably invest about $50 to do it out of pocket.
Is it what everyone would do, probably not, are there people who think this is insanely dangerous, probably - but it has worked for us for over a year *shrugs*
I made mine out of an 8ft 4x4 and 8 6ft 5/4x6 decking boards. Cut the 4x4 into 4 equal pieces and then screw the decking boards, 2 to a side to make a 6ftx6ft square. It cost me about $35 and has held up for over 3 years so far.