Using price discovery measures, including Putniņš’ (2013) information leadership share and intraday data, we quantify the proportional contribution of nearby and deferred contracts in price discovery in the corn and live cattle futures markets. On average, nearby contracts reflect information more quickly than deferred contracts 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 typically occurs when the nearby is close to maturity. Regression results indicate that the share of price discovery is mainly related to trading volume and time to expiration in both markets. In the corn market, price discovery share between nearby and deferred contracts is also related to inverse carrying charges, crop year differences, USDA announcements, market crashes, and commodity index position rolls. Differences between corn and live cattle markets are consistent with differences in the contracts’ liquidity and commodity storability.

中文翻译：

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衡量可存储和不可存储商品期货市场中附近合约和递延合约之间的价格发现

使用包括Putniņš（2013）信息领导者份额和当日数据在内的价格发现措施，我们可以量化附近和递延合同在玉米和活牛期货市场价格发现中所占的比例。平均而言，与玉米市场上的延期合同相比，附近的合同反映信息的速度更快，但在活牛市场中的主导作用相对较少。在两个市场中，当其相对交易量份额跌至50％以下时，附近的合约便失去了支配地位，通常发生在附近的合约接近到期时。回归结果表明，价格发现的份额主要与两个市场上的交易量和到期时间有关。在玉米市场中，附近合约与递延合约之间的价格发现份额也与反向携带费用有关，作物年度差异，美国农业部公告，市场崩盘和商品指数持仓量。玉米和活牛市场之间的差异与合同的流动性和商品可存储性的差异是一致的。