The impact of public and semi-public information on cotton futures market
| Autor: | Gerald P. Dwyer, Ran Xie, Olga Isengildina-Massa, J. L. Sharp |
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| Rok vydání: | 2016 |
| Předmět: |
Finance
Economics and Econometrics business.industry Autoregressive conditional heteroskedasticity 05 social sciences Event study Seasonality medicine.disease Agricultural economics Agriculture 0502 economics and business Economics medicine 050202 agricultural economics & policy 050207 economics Volatility (finance) business World Agricultural Supply and Demand Estimates Futures contract Stock (geology) |
| Zdroj: | Applied Economics. 48:3416-3431 |
| ISSN: | 1466-4283 0003-6846 |
| Popis: | This study estimated the impact of all major public and semi-public reports on the cotton futures market from 1995 through 2012. The estimation was based on the event study approach with the events measured by the release of five major reports: Export Sales, Crop Progress, World Agricultural Supply and Demand Estimates (WASDE) and Prospective Plantings (public reports from US Department of Agriculture) and Cotton This Month (semi-public report from International Cotton Advisory Committee). The best-fitting IGARCH(1,1)-t model that accounted for the day-of-week, seasonality and stock levels was used to measure the report effects on daily nearby cotton close-to-close futures returns. Prospective Plantings and WASDE reports appeared to be the most important sources of information in the cotton markets moving the conditional standard deviation of returns by an average of 14.4 and 9.6 percentage points, respectively. However, significant market reaction was not found for the other three reports. Our an... |
| Databáze: | OpenAIRE |
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