Date Author Names Title
Du, Xiaodong, Kane, Stephen

Fundamental Surprises, Market Structure, and Price Formation in Agricultural Commodity Futures Markets

  • 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.