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The Intraday Variability Of Soybean Futures Prices: Information And Trading Effects

Author

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  • Jordan, James V.
  • Seale, William E.
  • Dinehart, Steve
  • Kenyon, David E.

Abstract

The variance of soybean futures prices is more than thirty percent higher early and late in the trading day than during the middle of the day. The pattern may be caused by patterns in information arrival or by noise introduced by the very process of trading. In empirical tests, higher variance early in the day is found to be related to information released while the market is closed. Higher variance near the end of the day is found to be unrelated to information effects, but there is evidence that it is due to trading noise.

Suggested Citation

  • Jordan, James V. & Seale, William E. & Dinehart, Steve & Kenyon, David E., 1988. "The Intraday Variability Of Soybean Futures Prices: Information And Trading Effects," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270296, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea88:270296
    DOI: 10.22004/ag.econ.270296
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    References listed on IDEAS

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    1. Glosten, Lawrence R, 1987. "Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices," Journal of Finance, American Finance Association, vol. 42(5), pages 1293-1307, December.
    2. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    3. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    4. Working, Holbrook, 1967. "Tests of a Theory Concerning Floor Trading on Commodity Exchanges," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 7(Supplemen), pages 1-44.
    5. Silber, William L, 1984. "Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets," Journal of Finance, American Finance Association, vol. 39(4), pages 937-953, September.
    6. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
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    Cited by:

    1. Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
    2. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.

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