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摘要翻译：
不同到期日的期货合约是同时交易的，它们处理信息的速度对理解定价发现过程有价值。利用价格发现度量，包括Putnins(2013)信息领导份额和日内数据，我们量化了玉米和活牛期货市场中附近和延期合约之间价格发现的比例贡献。玉米市场的价格发现比活牛市场更为系统。平均而言，附近合约在玉米市场的价格发现方面领先于所有延期合约，但在活牛市场的主导作用相对较小。在这两个市场中，当相对交易量份额下降到50%以下时，附近的合约就失去了主导地位，这发生在玉米到期前2-3周和活牛到期前5-6周。回归结果表明，价格发现份额与交易量的关系最为密切，但也受到到期时间、滞后、USDA公告和市场崩溃的影响，但程度要小得多。这些其他因素的影响因市场而异，这可能反映了可储存性以及其他市场相关特征的差异。
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英文标题：
《Measuring Price Discovery between Nearby and Deferred Contracts in
Storable and Non-Storable Commodity Futures Markets》
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作者：
Zhepeng Hu, Mindy Mallory, Teresa Serra, and Philip Garcia
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最新提交年份：
2017
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putnins (2013) information leadership share and intraday data, we quantify the proportional contribution of price discovery between nearby and deferred contracts in the corn and live cattle futures markets. Price discovery is more systematic in the corn than in the live cattle market. On average, nearby contracts lead all deferred contracts in price discovery in the corn market, but have a relatively less dominant role in the live cattle market. In both markets, the nearby contract loses dominance when its relative volume share dips below 50%, which occurs about 2-3 weeks before expiration in corn and 5-6 weeks before expiration in live cattle. Regression results indicate that the share of price discovery is most closely linked to trading volume but is also affected, to far less degree, by time to expiration, backwardation, USDA announcements and market crashes. The effects of these other factors vary between the markets which likely reflect the difference in storability as well as other market-related characteristics.
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PDF链接：
https://arxiv.org/pdf/1711.03506
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