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

Zhepeng Hu and Mindy Mallory

No 329790, 2022 Conference, April 25-26, 2022, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The value of USDA reports in the U.S. agricultural commodity futures markets has been intensively researched, but few studies have examined market responses to USDA reports in overseas markets. This paper investigates announcement effects of major USDA reports using intraday Chinese soybean complex futures prices and volume from the Dalian Commodity Exchange for January 2010 to April 2020. Results suggest that USDA reports have substantial informational value for market participants in China. In particular, strongest price and volume reactions to the releases occur immediately after the market opens and can persist for as long as an hour, depending on the size of the information shock and market liquidity. Further, we show that the informational value of the World Agricultural Supply and Demand Estimates (WASDE) report does not appear to be diminished after China started to release its official balance sheets for major agricultural commodities.

Keywords: Crop Production/Industries; International Relations/Trade (search for similar items in EconPapers)
Pages: 40
Date: 2022-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/329790/files/Hu_Mallory_NCCC-134_2022.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:ags:nccc22:329790

DOI: 10.22004/ag.econ.329790

Access Statistics for this paper

More papers in 2022 Conference, April 25-26, 2022, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Bibliographic data for series maintained by AgEcon Search ().