Do USDA Announcements Affect Comovements Across Commodity Futures Returns?
AbstractThe value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets. This is important because the structure of the relationship between commodities could change depending on the type of information revealed in the announcement, thus affecting price perceptions, hedging ratios, and portfolio return variance. This study simultaneously measures the impact of selected USDA reports on the conditional variances and covariances of returns on corn, lean hogs, soybeans, soybean meal, and soybean oil futures contracts using a multivariate GARCH model. It is shown that the largest movements in covariances are observed on the release days of Feed Outlook, Grain Stocks, and Hogs and Pigs reports.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.
Volume (Year): 37 (2012)
Issue (Month): 1 (April)
announcement effects; futures markets; market efficiency; multivariate GARCH; USDA reports; Agricultural Finance; Financial Economics; Political Economy;
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