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The market response to government crop news under different release regimes

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  • Adjemian, Michael K.
  • Irwin, Scott H.

Abstract

Many USDA reports are anticipated by commodity traders because they contain news about market fundamentals. USDA has made several recent changes to the publication of these reports, including shifting their publication time, releasing them so that traders can respond in real-time, and--just last July--removing media from the lockup environment where reports are prepared. Previously, traders had hours to digest USDA news, or at least access media summaries of that news, before or just as active trading resumed; now traders must digest news while markets are open. We show that continuous trading of government news coincided with wider daily session price ranges in the CBOT corn market. At the intraday level, we confirm recent findings about elevated trading volatility at report publication time under the real-time format: that these volatility spikes moderate fairly quickly, and that the CBOT corn market has a more difficult time distinguishing important news events. Although the sample of news events since the lockup policy change is small, we do not find evidence that removing media members from lockup has increased announcement time price volatility using either daily or intraday data.

Suggested Citation

  • Adjemian, Michael K. & Irwin, Scott H., 2020. "The market response to government crop news under different release regimes," Journal of Commodity Markets, Elsevier, vol. 19(C).
    • Handle: RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300753
    DOI: 10.1016/j.jcomm.2019.100110
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    References listed on IDEAS

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    6. Alex Frino & Michael Garcia, 2018. "Should macroeconomic information be released during trading breaks in futures markets?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 775-787, July.
    7. Karali, Berna & Isengildina-Massa, Olga & Irwin, Scott H. & Adjemian, Michael K. & Johansson, Robert, 2019. "Are USDA reports still news to changing crop markets?," Food Policy, Elsevier, vol. 84(C), pages 66-76.
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    Cited by:

    1. Joshua Huang & Teresa Serra & Philip Garcia, 2023. "“Fast money” around Federal Statistics Releases," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(4), pages 1248-1266, August.

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