This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings indicate that regular futures market contributes significantly to the price discovery, accounting for approximately 66.5% of price discovery in the EURO/USD market. This study also examines if the regular future’s information share (IS) can be explained by the positioning of commercial and non-commercial traders. We find a positive significant relationship between IS and both the speculative trade position and hedgers trade position. The results support the conclusion that the IS of regular futures can be better explained by speculators than hedgers.

中文翻译：

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常规和 E-Mini 欧元/美元期货合约的相对信息量以及交易者类型的作用

本文使用 2010 年的日内数据，研究了常规和 e-mini 期货市场对芝加哥商品交易所 (CME) 欧元/美元期货合约价格发现的相对贡献。 对价格发现的相对贡献是使用信息共享估计的Hasbrouck 和 Gonzalo-Granger 提出的方法。实证结果表明，常规期货市场对价格发现的贡献很大，约占欧元/美元市场价格发现的 66.5%。本研究还检验了常规期货的信息共享 (IS) 是否可以通过商业和非商业交易者的定位来解释。我们发现 IS 与投机交易头寸和对冲交易头寸之间存在显着正相关关系。