This paper examines the relative contributions to the price discovery process of EUR/USD futures traded in the Chicago Mercantile Exchange (CME) and the Intercontinental Exchange (ICE). We find that the CME contributes 66.4%, 92.7%, and 97.3% to the price discovery process according to information share metrics suggested by Harris, McInish, and Wood (2002), Hasbrouck (1995), and Putninš (2013), respectively. The intraday information share metrics also show that the CME dominates the price discovery in most time periods. We attribute the CME's price discovery leadership to its higher trading activity, lower transaction costs, and higher volatility as compared to the ICE.

本文研究了在芝加哥商业交易所（CME）和洲际交易所（ICE）交易的欧元/美元期货的价格发现过程的相对贡献。根据Harris，McInish和Wood（2002），Hasbrouck（1995）和Putninš（2013）提出的信息共享指标，我们发现CME分别为价格发现过程贡献了66.4％，92.7％和97.3％。盘中信息共享指标还显示，在大多数时间段内，CME主导着价格发现。我们将CME的价格发现领先优势归因于其与ICE相比更高的交易活动，更低的交易成本和更高的波动性。