Did Grain Futures Prices Overreact to the Russia-Ukraine War?

Colin Carter and Sandro Steinbach

MPRA Paper from University Library of Munich, Germany

Abstract: We study the impact of the 2022 Russian invasion of Ukraine on corn, wheat, and soybean futures prices. The war provides a natural experiment to evaluate whether futures markets are driven by investor herding. Using event study methods, we find that wheat futures prices rose by 30 percent above the counterfactual immediately after the invasion, more than corn futures prices, which were up by 10 percent. This relative price response cannot be explained by herding behavior. Instead, we argue the larger move in wheat was due to fundamental concerns over the possibility of a complete disruption of Black Sea grain exports, including exports from Russia, the world's largest wheat exporter. Soybean prices did not respond to the war, contradicting herding. There is no statistical evidence of abnormal speculative pressure in the market around the time of the invasion, and we conclude the markets put a fair price on the wartime risk of Black Sea grain shipment disruptions.

Keywords: Russia-Ukraine war; war premium; event study; behavioral finance; herding (search for similar items in EconPapers)
JEL-codes: G13 G14 Q02 (search for similar items in EconPapers)
Date: 2023-08-01
New Economics Papers: this item is included in nep-agr, nep-cis and nep-tra
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/118248/1/Carter%20 ... ia-Ukraine%20War.pdf original version (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:pra:mprapa:118248

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().