Economics at your fingertips  

Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets

Xinyue He, Teresa Serra and Philip Garcia

American Journal of Agricultural Economics, 2021, vol. 103, issue 2, 743-764

Abstract: The Commodity Futures Trading Commission (CFTC) recently identified large intra‐day price changes or “flash events” in continuously traded commodity futures markets. These flash events fueled discussion on whether futures markets are becoming less effective as human intervention is diminishing in favor of automated trading. Using intra‐day data, we examine liquidity resilience during “flash events” in corn and lean hog futures markets from 2014 to 2019. Overall, we find little evidence that the liquidity provision in these two markets relative to normal days becomes fragile when large price movements occur. Our analysis suggests that flash events are heavily influenced by unanticipated changes in fundamentals that may lead to a new equilibrium price. Liquidity dynamics during these events supports the view that active market making helps absorb the increased volume and stabilize markets.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in American Journal of Agricultural Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-05-12
Handle: RePEc:wly:ajagec:v:103:y:2021:i:2:p:743-764