Overseas Impact of USDA Reports: Evidence From Chinese Soybean Complex Futures

Zhepeng Hu and Mindy Mallory

Journal of Futures Markets, 2025, vol. 45, issue 11, 2109-2127

Abstract: This study examines the impact of USDA reports on Chinese soybean complex futures using intraday price and volume data from January 2011 to April 2021. The results show that the strongest price and volume reactions occur immediately after the market opens. On average, price reactions dissipate within a few minutes, while increased trading volume can last up to an hour. Significant announcement effects are observed for all major USDA reports, but the World Agricultural Supply and Demand Estimates (WASDE) report has minimal impact when not released alongside other USDA reports. During the trade war period, USDA reports had reduced impact on soybean no. 1 and soybean oil futures but remained influential on soybean no. 2 and soybean meal futures. Moreover, there is no evidence that the informational value of the WASDE report on Chinese soybean complex futures declined following the introduction of the China Agricultural Supply and Demand Estimates (CASDE) report.

Date: 2025
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