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Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market

Citations

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Cited by:

  1. Matthew Houser & Berna Karali, 2020. "How Scary Are Food Scares? Evidence from Animal Disease Outbreaks," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(2), pages 283-306, June.
  2. Berna Karali & Scott H. Irwin & Olga Isengildina‐Massa, 2020. "Supply Fundamentals and Grain Futures Price Movements," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 548-568, March.
  3. Cao, An N.Q. & Heckelei, Thomas & Ionici, Octavian & Robe, Michel A., 2024. "USDA reports affect the stock market, too," Journal of Commodity Markets, Elsevier, vol. 34(C).
  4. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(5), pages 1482-1498.
  5. McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
  6. Adjemian, Michael K. & Johansson, Robert & McKenzie, Andrew & Thomsen, Michael, 2016. "The Value of Government Information in an Era of Declining Budgets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235811, Agricultural and Applied Economics Association.
  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.
  8. 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.
  9. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
  10. Verteramo Chiu, Leslie J. & Tomek, William G., 2016. "Anticipatory Signals of Changes in Corn Demand," Working Papers 250032, Cornell University, Department of Applied Economics and Management.
  11. Nicolas Legrand, 2023. "War in Ukraine: The rational “wait‐and‐see” mode of global food markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 45(2), pages 626-644, June.
  12. Mallory, Mindy & Garcia, Philip, 2015. "Nearby and Deferred Quotes: What They Tell Us about Linkages and Adjustments to Information," 2015 Conference, April 20-21, 2015, St. Louis, Missouri 285834, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  13. Arnade, Carlos & Hoffman, Linwood & Effland, Anne, "undated". "The Impact of Public Information on Commodity Market Performance: The Response of Corn Futures to USDA Corn Production Forecasts," USDA Miscellaneous 313488, United States Department of Agriculture.
  14. 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.
  15. Hu, Zhepeng & Mallory, Mindy & Serra, Teresa, 2017. "Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets," 2017 Conference, April 24-25, 2017, St. Louis, Missouri 285866, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  16. 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.
  17. 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.
  18. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  19. Joseph P. Janzen & Michael K. Adjemian, 2017. "Estimating the Location of World Wheat Price Discovery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(5), pages 1188-1207.
  20. Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
  21. Janzen, Joseph P. & Adjemian, Michael K., 2016. "Estimating the Location of World Wheat Price Determination," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235838, Agricultural and Applied Economics Association.
  22. Maria Kalaitzandonakes & Brenna Ellison & Maria Teresa Serra Devesa, 2025. "The financial impact of foodborne illness outbreaks at restaurants: Chipotle Mexican Grill," Agribusiness, John Wiley & Sons, Ltd., vol. 41(2), pages 381-400, April.
  23. Rousse, Olivier & Sévi, Benoît, "undated". "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  24. Bunek, Gabriel D. & Janzen, Joseph P., 2024. "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, vol. 33(C).
  25. Arzandeh, Mehdi & Frank, Julieta, 2017. "The Information Content of the Limit Order Book," 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON 253251, Canadian Agricultural Economics Society.
  26. Verteramo Chiu, Leslie & Tomek, William, 2016. "Anticipatory Signals of Changes in U.S. Corn Demand," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235869, Agricultural and Applied Economics Association.
  27. Wang, Zhiguang & Mishra, Suchismita & Elliott, Lisa, 2017. "Trade Impact in the Electronic Grain Futures Markets," 2017 Conference, April 24-25, 2017, St. Louis, Missouri 285876, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  28. Shang, Quanbiao & Mallory, Mindy, 2016. "The Components of the Bid-Ask Spread: Evidence from the Corn Futures Market," 2016 Conference, April 18-19, 2016, St. Louis, Missouri 285856, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  29. Quanbiao Shang & Mindy Mallory & Philip Garcia, 2018. "The components of the bid†ask spread: Evidence from the corn futures market," Agricultural Economics, International Association of Agricultural Economists, vol. 49(3), pages 381-393, May.
  30. Arzandeh, Mehdi & Frank, Julieta, "undated". "Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?," Annual Meeting, 2017, June 18-21, Montreal, Canada 259344, Canadian Agricultural Economics Society.
  31. 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.
  32. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
  33. 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).
  34. 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.
  35. Verteramo Chiu, Leslie J. & Tomek, William G., "undated". "Insights from Anticipatory Prices," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258115, Agricultural and Applied Economics Association.
  36. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
  37. Michael K Adjemian & Robert Johansson & Andrew McKenzie & Michael Thomsen, 2018. "Was the Missing 2013 WASDE Missed?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 40(4), pages 653-671, December.
  38. Bunek, Gabriel D. & Janzen, Joseph P., 2015. "Characterizing the Effect of USDA Report Announcements in the Winter Wheat Futures Market Using Realized Volatility," 2015 Conference, April 20-21, 2015, St. Louis, Missouri 285838, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  39. Adjemian, Michael K. & Arnade, Carlos Anthony, "undated". "Not Lost in Translation: The Impact of USDA Reports on International Corn Markets," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258362, Agricultural and Applied Economics Association.
  40. Adrian Fernandez‐Perez & Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad, 2019. "Surprise and dispersion: informational impact of USDA announcements," Agricultural Economics, International Association of Agricultural Economists, vol. 50(1), pages 113-126, January.
  41. Xinyue He & Teresa Serra, 2022. "Are price limits cooling off agricultural futures markets?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 104(5), pages 1724-1746, October.
  42. Anabelle Couleau & Teresa Serra & Philip Garcia, 2020. "Are Corn Futures Prices Getting “Jumpy”?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 569-588, March.
  43. Ahmed, Osama, 2021. "Assessing the current situation of the world wheat market leadership: Using the semi-parametric approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 9(2).
  44. Thomas A. P. de Boer & Cornelis Gardebroek & Joost M. E. Pennings & Andres Trujillo‐Barrera, 2022. "Intraday liquidity in soybean complex futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1189-1211, July.
  45. Kishore Joseph & Philip Garcia, 2018. "Intraday market effects in electronic soybean futures market during non-trading and trading hour announcements," Applied Economics, Taylor & Francis Journals, vol. 50(11), pages 1188-1202, March.
  46. Isengildina-Massa, Olga Isengildina- & Karali, Berna & Irwin, Scott H. & Adjemian, Michael K., 2016. "The Value of USDA Information in a Big Data Era," 2016 Conference, April 18-19, 2016, St. Louis, Missouri 285854, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  47. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 101(5), pages 1482-1498, October.
  48. repec:ags:aaea22:343571 is not listed on IDEAS
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