Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements

Kishore Joseph and Philip Garcia

No 235772, 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association

Abstract: This paper investigates market reactions to major USDA announcements during trading and non-trading hours in the soybean futures market. The findings indicate that 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 five to six minutes at a higher magnitude. Adjusting volatility by normal trading volatility indicates that trading hour volatility 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.

Keywords: Agribusiness; Agricultural and Food Policy; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Marketing (search for similar items in EconPapers)
Pages: 26
Date: 2016-05-25
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea16:235772

DOI: 10.22004/ag.econ.235772

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