<scp>MFP</scp> and <scp>CFAP</scp> Official Announcement and Pre‐Official Announcement Effects on the Corn and Soybean Futures Market

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 a 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.