The Reaction of Corn Futures Markets to US and Brazilian Crop Reports
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.
Authors
- Daniel Henrique Dario Capitani (ORCID: https://orcid.org/0000-0002-8025-4152)
- Rodrigo Lanna Franco da Silveira (ORCID: https://orcid.org/0000-0002-1208-5713)
- José César Cruz Júnior (ORCID: https://orcid.org/0000-0002-1773-4647)
- Renato M. Silva (ORCID: https://orcid.org/0000-0001-6687-8981)
- Fabio Mattos (ORCID: https://orcid.org/0000-0001-8933-8953)
Institutions
- University of Nebraska–Lincoln (US)
- Universidade de São Paulo (BR)
- Universidade Estadual de Campinas (UNICAMP) (BR)
- Daiseung Medics (South Korea) (KR)
Publication Details
- Journal
- Journal of Futures Markets
- Published
- 2025-06-08
- DOI
- https://doi.org/10.1002/fut.22601
- Primary Topic
- Market Dynamics and Volatility
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Fundação de Amparo à Pesquisa do Estado de São Paulo
- Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
- Conselho Nacional de Desenvolvimento Científico e Tecnológico