THE INTRADAY VARIABILITY OF SOYBEAN FUTURES PRICES: INFORMATION AND TRADING EFFECTS

James V. Jordan, William E. Seale, Steve Dinehart and David E. Kenyon

No 270296, 1988 Annual Meeting, August 1-3, Knoxville, Tennessee from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The variance of soybean futures prices is more than thirty percent higher early and late in the trading day than during the middle of the day. The pattern may be caused by patterns in information arrival or by noise introduced by the very process of trading. In empirical tests, higher variance early in the day is found to be related to information released while the market is closed. Higher variance near the end of the day is found to be unrelated to information effects, but there is evidence that it is due to trading noise.

Keywords: Crop Production/Industries; Demand and Price Analysis; International Relations/Trade (search for similar items in EconPapers)
Pages: 26
Date: 1988-08-01
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea88:270296

DOI: 10.22004/ag.econ.270296

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