Files

Action Filename Size Access Description License
Show more files...

Abstract

In May 2012, the Chicago Mercantile Exchange extended trading hours for several agricultural commodities, including corn. Since then, trading during the release of a key U.S. Department of Agriculture report known as the World Agricultural Supply and Demand Estimate has been possible. Some concerns have been expressed that trading through the release of important market information might generate higher price volatility in agricultural commodity markets. The purpose of this paper is to examine the effect of extended trading hours on intraday price volatility in corn futures markets. The results suggest that trading during the information releases in 2012 has led to brief periods of excessive volatility immediately after the reports were released, but the higher volatility did not persist much beyond 60 minutes. The paper also highlights the role of higher liquidity in absorbing potential market shocks.

Details

Downloads Statistics

from
to
Download Full History