Exploring calendar effects: the impact of WASDE releases on grain futures market volatility

The monthly issuance of the World Agriculture Supply and Demand Estimates (WASDE) by the United States Department of Agriculture (USDA) plays a pivotal role in shaping market dynamics through its comprehensive projections and assessments of agricultural commodities. This paper examines the influence of WASDE reports on the intraday volatility of grain futures. We analyse the calendar effect on volatility, focusing on the diurnal patterns on WASDE release days compared to other trading days. This study leverages high-frequency intraday data to explore the immediate and sustained market reactions to the reports, aiming to identify distinct volatility patterns and their implications for traders and market analysts. Our findings confirm the presence of unique diurnal volatility patterns on WASDE release days, significantly diverging from non-release days. This research contributes to the literature by providing refined insights into how public information releases affect market volatility, offering valuable perspectives for understanding and anticipating market movements in response to agricultural reports.