Journal
APPLIED ECONOMICS
Volume 50, Issue 11, Pages 1188-1202Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/00036846.2017.1355542
Keywords
USDA reports; intraday volatility; price discovery; market efficiency
Categories
Funding
- Office of Futures and Options Research at the University of Illinois at Urbana-Champaign
- College of Agriculture, California State University Chico
Ask authors/readers for more resources
This article investigates market reactions to major United States Department of Agriculture announcements during non-trading and trading hours in the soybean futures market using microstructure data. Following report release, volume increases and remains elevated for up to 15 to 20 minutes. The volume spikes for the non-trading releases relative to the trading releases, but are identical after the first reaction. Report releases during non-trading hours cause a large spike in volatility at the onset of trading which subsides quickly. In contrast, releases during trading hours result in a smaller volatility spike, which extends for 5-6 min at a higher magnitude. Adjusting volatility by normal trading volatility indicates that volatility in trading hour release is higher in both immediate response and persistence. Return correlations provide little evidence to support systematic under-or overreaction in prices regardless of when the report is released reflecting the efficiency of the market.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available