RESEARCH ARTICLE

Rodrigo Lanna Franco da Silveira, Renato Moraes Silva, Fabio L. Mattos, José César Cruz Júnior, Daniel Henrique Dario Capitani | The Journal of Futures Markets

The purpose of this study is to examine the impact of US (WASDE) and Brazilian (CONAB) crop reports on corn futures prices and trading volumes in both the US and Brazilian markets. Employing an intraday announcement analysis, we investigate how return volatilities and trading volumes respond to the release of these reports. Specifically, we compare prices and volume behavior on report days with the 5 days preceding and following the announcements. Using both parametric and nonparametric tests, our results indicate that WASDE report announcements significantly influence returns and trading volumes in both markets. In contrast, the effects of CONAB reports are less pronounced than those associated with WASDE releases.

Full article: https://doi.org/10.1002/fut.22601