Are Corn Futures Prices Getting “Jumpy”?

Anabelle Couleau and Teresa Serra

No 285883, 2018 Conference, April 16-17, 2018, Minneapolis, Minnesota from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Corn futures markets have experienced increased intraday price jumps which have been blamed on public information shocks and the reduced trading latency brought by electronic trading. This paper contributes to shed light on this issue by assessing intraday jumps in the corn futures nearby transaction prices from 2008 to 2015. We use a nonparametric jump test and a variance analysis to estimate jump risk. Our results suggest that the real-time trading of major USDA reports has substantially increased the frequency and the magnitude of jump risk. In contrast, results suggest that the electronic platform along with reduced latency may have increased liquidity and prevented price spikes on non-USDA report days.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2018-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13418:285883

DOI: 10.22004/ag.econ.285883

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