USDA ANNOUNCEMENT EFFECTS IN REAL-TIME

In 2012, the Chicago Board of Trade eliminated a morning trading halt that coincided with the normal publication time for important USDA commodity reports. Previously, market participants had hours of halted trading time to review the information in the reports and adjust their strategies in advance of market re-opening. We use 2009-2014 intraday grain futures market price and volume data to show that, without a trading halt, ensuing real-time trading on USDA crop announcements exhibits noticeable volatility spikes in agricultural futures markets, but that this heightened volatility dissipates within the space of a few trading minutes. In addition, continuously-traded markets appear to have a more difficult time distinguishing between the newsworthiness of government reports. Nevertheless, continuously traded crop markets take nearly the same time to fully absorb these shocks, following a very similar time path. Re-imposing a timeout would necessarily lengthen the price discovery process.