Peng, Kun; Hu, Zhepeng; Robe, Michel A.; Adjemian, Michael - 2021
We document the impact of the early stages of the COVID-19 pandemic on liquidity in U.S. agricultural markets. Notably, we show that soybean futures-market depth collapses weeks before the U.S. financial markets’ crash of March 2020. Soybean futures liquidity is affected the earliest, the...