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Abstract
This paper investigates market reactions to major USDA announcements during trading and non-trading hours in the soybean futures market. The findings indicate that 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 five to six minutes at a higher magnitude. Adjusting volatility by normal trading volatility indicates that trading hour volatility 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.