VOLATILITY AND LIQUIDITY OF CME CORN MARKET

The aim of this paper is to determine if there is a relationship between the volatility and liquidity in the corn market at CME. The sub-objective is to identify the seasonality related with the harvest of major producers. The data set is based on closing daily prices, liquidity (volume) and open interest at CME futures market for the period 2006 - 2015. The historical volatility index was used to determine volatility in the data. The seasonality pattern is obvious only for volume of individual contract months of corn futures. The analysis of daily closing prices found the more volatile second part of the calendar year, but this volatility decreases by the end of November and is the lowest in February. It was the year beginnings which were supposed to be more volatile, because the new harvest is traded via the December contracts. The liquidity is probably related with the business cycle. The observed volume reached its maximums during the years of world financial crisis (2008 - 2009). The seasonality pattern is obvious only for volume of individual contract months of corn futures. The volume is the highest for December contracts and then it gradually decreases for the rest of contracts. This findings corresponds with the assumption about the impact of harvests. Analysis of individual futures contract volatility didn't prove this assumption. Relationship for liquidity and volatility hasn't been found.