Both the fundamental surprises and the market structure related variables are found to have statistically significant effects on price and price volatility of corn and soybean futures.
Fundamental changes are captured by the deviations of the supply and demand condition estimates released by USDA from the pre-announcement analysts’ forecasts published by Bloomberg.
We employ the transaction databases of CFTC (Commodity Futures Trading Commission) to construct the percentage shares of detailed participation group trading in the market.