Estimating the Location of World Wheat Price Discovery

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.

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Conference Paper/ Presentation
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JEL Codes:
Q11; G13

 Record created 2017-04-01, last modified 2018-01-23

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