This paper introduces a new quantile information share (QIS) method by extending the conventional QIS to Markov regime‐switching models. For most commodities in the full sample, our results show that the relationship among the spot QIS, the spot return quantile, and the futures return quantile is displayed by a saddle surface or a half saddle surface. The information share (IS) of the futures markets is saddle shaped in the low‐ and high‐volatility states. Moreover, the spot market has a larger IS in the low‐volatility state than that in the high‐volatility state for most commodities.

中文翻译：

---

马尔可夫政权转换下的分位数信息共享

通过将传统的QIS扩展到Markov体制转换模型，本文介绍了一种新的分位数信息共享（QIS）方法。对于完整样本中的大多数商品，我们的结果表明，现货QIS，现货收益分位数和期货收益分位数之间的关系通过鞍形表面或半鞍形表面显示。在低和高波动率状态下，期货市场的信息份额（IS）呈鞍形。此外，对于大多数商品而言，现货市场在低波动状态下的IS比在高波动状态下的IS大。