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Abstract
The United States may be losing its leadership 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 applies market microstructure methods including the Yan and Zivot (2010)
information leadership share to estimate the proportion of price discovery occurring in wheat futures markets
in Chicago, Minneapolis, and Paris. We find that United States markets still dominate wheat price discovery,
although the share of price discovery for the Paris market jumped noticeably in 2010 coinciding with major
supply shocks in Russia and Ukraine.