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Activity Number: 357 - Contributed Poster Presentations: Business and Economic Statistics Section
Type: Contributed
Date/Time: Tuesday, July 30, 2019 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract #306961
Title: Information Shocks in Agricultural Futures Markets
Author(s): yu Wu and Julieta Frank*
Companies: University of Manitoba and
Keywords: Agricultural commodities; futures markets; limit order book
Abstract:

Agricultural commodity markets have gone through major changes during the past decade. One major change is the switch to the electronic platform, where trading occurs through the presence of a limit order book (LOB). The LOB contains a list of prices, and their corresponding quantities, at which traders are willing to buy or sell a commodity. Another change is the observed increased price volatility. It has been shown that under higher price uncertainty information entering the market becomes more valuable. One well-known source of information in agricultural markets are the USDA reports. Many studies have shown that the information contained in those reports is valuable and that markets respond to that information. The objective of the research is to examine the effect of USDA reports on the price discovery process. Previous research suggests that the information contributing to the discovery of the permanent price of a commodity is not only contained at the top of the LOB but rather on the bids and asks along the LOB. We argue that the contribution of the LOB to the permanent price differs on USDA released announcements and non-announcements days


Authors who are presenting talks have a * after their name.

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