The impact of the change in USDA announcement release procedures on agricultural commodity futures

Abstract

In August 2018, the US Department of Agriculture (USDA) ceased its practice of early media access during lockup, in which the news media have access to crop and livestock reports ahead of scheduled announcements. News media no longer have a 90-min window to digest and write custom reports and are now subject to the same information distribution rules as the public. We examine the impact of this regulatory change on the trading of agricultural commodity futures. We assess changes in market quality (e.g., liquidity, volatility, information asymmetry, and high-frequency trading activity) around news announcements before and after the regulatory change. Although the majority of our market quality proxies react to USDA news releases, they are not statistically different before and after the regulatory change. The overall results show that ending the practice of early media access lockup does not have a significant economic impact on agricultural futures trading around USDA news releases.