Work

The Impacts of Wholesale Price Announcements and Trading Activities on Dairy Product Volatilities

Year: 2024

Type: article

Abstract: This study shows that the weekly National Dairy Products Sales Report (NDPSR) influences dairy futures prices and reduces volatility.Our results demonstrate that volatility diminishes when a futures contract approaches expiration for all dairy commodities, including class III milk, cheese, butter, and dry whey.Dairy futures volatility is significantly correlated with pricing information released in NDPSR.Trading volume and open interest also contribute to the diminishing volatility.Macroeconomic variables, such as short-term interest rate, dollar index, futures market index, and S&P500 index do not impact dairy volatility significantly.The vector autoregression (VAR) results show no significant interdependence among dairy volatilities.Our results are robust to different models and seasonality effects.

Source: Journal of International Finance and Economics

DOI: 10.18374/jife-24-4.4

Authors: Zaifeng Fan, Jeff Jump, Linda Yu

Institution: University of Wisconsin–Whitewater

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Zero hunger

Open Access status: bronze

OpenAlex ID: W4406122228