Intraday market effects in electronic soybean futures market during non-trading and trading hour announcements

Kishore Joseph, Philip Garcia

Research output: Contribution to journalArticle

Abstract

This article investigates market reactions to major United States Department of Agriculture announcements during non-trading and trading hours in the soybean futures market using microstructure data. Following report release, volume increases and remains elevated for up to 15 to 20 minutes. The volume spikes for the non-trading releases relative to the trading releases, but are identical after the first reaction. 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 5–6 min at a higher magnitude. Adjusting volatility by normal trading volatility indicates that volatility in trading hour release 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.

Original languageEnglish (US)
Pages (from-to)1188-1202
Number of pages15
JournalApplied Economics
Volume50
Issue number11
DOIs
StatePublished - Mar 3 2018

Keywords

  • USDA reports
  • intraday volatility
  • market efficiency
  • price discovery

ASJC Scopus subject areas

  • Economics and Econometrics

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