Professor Michel Robe (Illinois & CFTC) is visiting CORMEC (WUR) and the Marketing-Finance Research Lab (Maastricht University).

Michel ( will present his paper on liquidity in futures market during the Covid-19 pandemic on May 19 at 14:00. Please let us know if you would like to join (by sending an-e-mail to or

Below an abstract of Professor Robe’s paper:

Peng, Kun and Hu, Zhepeng and Robe, Michel A. and Adjemian, Michael.

Canary in the Coal Mine: COVID-19 and Soybean Futures Market Liquidity (February 5, 2021).

Available at SSRN:  


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 ebbs weeks ahead of U.S. financial markets’ crash in March 2020. Soybean futures liquidity is affected the earliest, the most, and the longest. Soybean depth drops by half for outright futures and by over 90 percent for calendar spreads, and soybean bid-ask spreads increase significantly, starting on the night of February 12 to 13, 2020—a full two weeks before (i) liquidity evaporates in U.S. bond and equity markets and (ii) soybean prices start to fall sharply. The timing of the soybean liquidity drop coincides with overnight news of bleak COVID-19 developments in China (a dominant source of world demand for oilseeds). Following a series of emergency interventions by the U.S. Federal Reserve in March and April 2020, liquidity recovers in the soybean outright futures market—but depth remains abnormally low for calendar spreads. These patterns cannot be explained by other factors, such as changes in soybean futures trading volume or price volatility: the COVID-19 shock was novel, and it destroyed soybean-market liquidity in a way that foretold financial-market developments two weeks later. In contrast to soybeans, we find little evidence of a drop in corn or wheat futures liquidity until U.S. financial and crude oil markets sink in early March. Soybeans were truly the canary in the coal mine.

Keywords: COVID-19, Financial market liquidity, Agricultural commodities, China, Precursor

JEL Classification: G10, G14, Q02, Q13


By | 2021-03-24T14:20:18+00:00 maart 22nd, 2021|Cormec|0 Comments