The Effects of IBGE and USDA Announcements on BM&FBOVESPA Soybean and Corn Futures Prices

Abstract

This paper analyzes the impact of USDA and IBGE crop forecast announcements in the Brazilian corn and soybean futures market. Futures prices were obtained from BM&FBOVESPA from 2009 to 2014 and announcements days were collected from IBGE and USDA historical reports. Expected value of absolute price changes (EABS) of four days before and four days after were calculated. Univariate and multivariate tests were performed to assess if the information on the reports affected prices. Results using EABS show that the high illiquidity of soybean March contract does not allow prices to reflect information and corn futures prices are influenced only by USDA announcements. Results also show that Brazilian market participant expectations tend to overestimate both USDA and IBGE forecasts. The conclusion of this work is that USDA announcements bring new information only for corn futures market and the lack of liquidity in the market might deteriorate the information transfer capacity of corn and soybean futures prices