Trade Impact in the Electronic Grain Futures Markets

Zhiguang Wang, Suchismita Mishra and Lisa Elliott

No 285876, 2017 Conference, April 24-25, 2017, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The rise of large/institutional traders in agricultural commodities calls for research on the analysis of market impact of trading. We aim to uncover the pattern and duration of market impact of trading in corn, soybeans and wheat during the period of 2008- 2015. Using the CME intraday electronic trade and quote data, we find support for square-root temporary impact of trading volume that lasts 10 minutes for corn and wheat, 16 minutes for soybeans. We also find evidence for post-trade permanent impact with a decaying effect in the form of -1/2 power of time. The permanent impact lasts 8 minutes for corn and wheat, 6 minutes for soybeans.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2017-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13417:285876

DOI: 10.22004/ag.econ.285876

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