Gone in ten minutes: Intraday evidence of announcement effects in the electronic corn futures market

Georg V. Lehecka, Xiaoyang Wang, Philip Garcia

Research output: Contribution to journalArticlepeer-review

Abstract

This article investigates the announcement effects of major USDA reports using intraday Chicago Board of Trade corn futures prices and trading volume from the electronic trading platform for July 2009 to May 2012. Focusing on intraday market reactions, we analyze the extent to which new information impacts and is rapidly reflected in prices. Results show that USDA reports contain substantial information for market participants. Strongest price reactions to the releases are found immediately after the market opens, and market reactions persist for approximately ten minutes. The electronic corn futures market quickly incorporates this new public information, and little evidence exists to support systematic under- or overreactions in prices. Other more subtle reactions occur in the last trading session before USDA announcements as traders adjust their market exposure in anticipation of the release.

Original languageEnglish (US)
Pages (from-to)504-526
Number of pages23
JournalApplied Economic Perspectives and Policy
Volume36
Issue number3
DOIs
StatePublished - Jan 1 2014

Keywords

  • Corn futures market
  • Informational value
  • Intraday electronic trading
  • Market efficiency
  • Public information
  • USDA reports

ASJC Scopus subject areas

  • Development
  • Economics and Econometrics

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