Artikel
Market uncertainty and sentiment around USDA announcements
We investigate forward‐looking commodity price volatility expectations (proxied by option‐implied volatilities or IVols) around scheduled US Department of Agriculture (USDA) reports. We show that corn and soybean IVols are significantly lower for several trading days after a report. The IVol response to a release depends on agricultural market experts' disagreement and sentiment before the USDA report, and on the extent to which the USDA information surprises the market. Whereas commodity IVols are generally positively related to financial‐market sentiment and macroeconomic uncertainty (jointly captured by the volatility index [VIX]), this comovement breaks down on report days—with the VIX and commodity IVols moving in opposite directions.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Futures Markets ; ISSN: 1096-9934 ; Volume: 42 ; Year: 2021 ; Issue: 2 ; Pages: 250-275
- Klassifikation
-
Wirtschaft
- Thema
-
commodities
dispersion
forward‐looking volatility
market sentiment
scheduled news
surprise
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cao, An N. Q.
Robe, Michel A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Wiley
- (wo)
-
Hoboken, NJ
- (wann)
-
2021
- DOI
-
doi:10.1002/fut.22283
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Cao, An N. Q.
- Robe, Michel A.
- Wiley
Entstanden
- 2021
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