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Abstract
The United States may be losing its leading role in the world wheat market. Rising trading
volume in foreign futures markets and shifting shares of world trade are suggested as evidence of this shift,
but neither necessitates that futures markets in the United States are any less important for wheat price
discovery. This paper uses the Hasbrouck (1995) Information Shares method to estimate the proportion of
price discovery occurring in wheat futures markets in Chicago and Paris. Our preliminary results suggest
that both markets are important for price discovery, but the Chicago market still leads. The proportion of
wheat price discovery in each market remained relative stable over the period 2007-2013.