The Reaction of Corn Futures Markets to US and Brazilian Crop Reports
研究了美国WASDE和巴西CONAB作物报告对美巴两国玉米期货价格和交易量的影响，发现WASDE报告显著影响两个市场，而CONAB报告影响较弱。
ABSTRACT 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.