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Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements

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  • Joseph, Kishore
  • Garcia, Philip

Abstract

This paper investigates market reactions to major USDA announcements during trading and non-trading hours in the soybean futures market. The findings indicate that report releases during non-trading hours cause a large spike in volatility at the onset of trading which subsides quickly. In contrast, releases during trading hours result in a smaller volatility spike which extends for five to six minutes at a higher magnitude. Adjusting volatility by normal trading volatility indicates that trading hour volatility is higher in both immediate response and persistence. Return correlations provide little evidence to support systematic under- or overreaction in prices regardless of when the report is released, reflecting the efficiency of the market.

Suggested Citation

  • Joseph, Kishore & Garcia, Philip, 2016. "Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235772, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea16:235772
    DOI: 10.22004/ag.econ.235772
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    Cited by:

    1. Joshua Huang & Teresa Serra & Philip Garcia, 2021. "The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments," Journal of Agricultural Economics, Wiley Blackwell, vol. 72(3), pages 712-734, September.
    2. Alessio Emanuele Biondo, 2019. "Order book modeling and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 469-489, September.
    3. Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
    4. Joshua Huang & Teresa Serra & Philip Garcia & Scott H. Irwin, 2022. "To batch or not to batch? The release of USDA crop reports," Agricultural Economics, International Association of Agricultural Economists, vol. 53(1), pages 143-154, January.
    5. Quanbiao Shang & Teresa Serra & Philip Garcia & Mindy Mallory, 2021. "Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 52(4), pages 679-699, July.
    6. 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).
    7. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.

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    Keywords

    Agribusiness; Agricultural and Food Policy; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Marketing;
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