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

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  • Hu, Zhepeng
  • Mallory, Mindy

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.

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Handle: RePEc:ags:nccc22:329790
DOI: 10.22004/ag.econ.329790
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