ABSTRACT
US dairy futures markets of Class III milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing system. We find that dairy volatilities have a relatively low connectedness among themselves and the overall commodity market. We develop a price information uncertainty measure to investigate dairy markets' response to government-released information. Dairy futures markets respond to government-released information with increased trading activity. The price information uncertainty measure has a strong positive impact on price volatility across all dairy commodities. We provide evidence that the COVID-19 pandemic increases volatility in dairy commodities. The pandemic also significantly reduces the impact of information uncertainty on volatility. © 2022 Elsevier B.V.