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Abstract
This study examines the official announcement effect of the Market Facilitation Program (MFP) and the Coronavirus Food Assistance Program (CFAP) on the corn and soybean futures market. Using a permutation test and 2-stage GLS model, we find no significant official announcement effect. However, pre-official announcements significantly increase futures contracts’ full-trading day volatility —by 0.945% (4 cents) for corn and 1.301% (16 cents) for soybeans. These findings suggest that information may have been absorbed by the market prior to the official announcements, indicating market efficiency. Moreover, the results highlight that pre-official announcements successfully serve as signals to boost market participants’ confidence in the short-term following a negative market shock.