The Reaction of Corn Futures Markets to US and Brazilian Crop Reports

Autor(es)

da Silveira, Rodrigo Lanna Franco ; Silva, Renato Moraes ; Mattos, Fabio L. ; Cruz Junior, Jose Cesar ; Capitani, Daniel Henrique Dario

• Tipo de documento: Artigo Científico
• Fonte: JOURNAL OF FUTURES MARKETS; v. N/A, p. 26-pg., 2025-06-08.

Resumo

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. (AU)

• Processo FAPESP: 20/09838-0 - BI0S - Brazilian Institute of Data Science
• Beneficiário: João Marcos Travassos Romano
• Modalidade de apoio: Auxílio à Pesquisa - Programa Centros de Pesquisa em Engenharia