Electronic International Standard Serial Number (EISSN)
This study estimated the impact of all major public and semi-public reports on the cotton futures market from 1995 through 2012. The estimation was based on the event study approach with the events measured by the release of five major reports: Export Sales, Crop Progress, World Agricultural Supply and Demand Estimates (WASDE) and Prospective Plantings (public reports from US Department of Agriculture) and Cotton This Month (semi-public report from International Cotton Advisory Committee). The best-fitting IGARCH(1,1)-t model that accounted for the day-of-week, seasonality and stock levels was used to measure the report effects on daily nearby cotton close-to-close futures returns. Prospective Plantings and WASDE reports appeared to be the most important sources of information in the cotton markets moving the conditional standard deviation of returns by an average of 14.4 and 9.6 percentage points, respectively.