Estimating the Location of World Wheat Price Discovery

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.

Are Corn Futures Prices Getting “Jumpy”?

“…First, compatible with increased jump risk due to real‐time trading of announcements, jump shares generally increase from period 1 to period 3. This finding is consistent with earlier results that highlighted the increasing prevalence of jumps and their magnitudes and in line with previous literature (Bunek and Janzen ; Janzen and Adjemian ; Adjemian and Irwin ). Second, the largest differences between the jump shares ( AJV share and AJV c , share ) occur at the shortest sampling frequency (1‐tick), where microstructure noise plays its largest role in the pricing process.…”

Return and volatility transmission between China's and international crude oil futures markets: A first look

“…However, while using intraday data, Elder, Miao, and Ramahander (2014) discover that WTI maintains a dominant role in price discovery relative to Brent. Janzen and Adjemian (2017) make a similar argument for using high frequency intraday data when they explore international linkages of another commodity futures market (i.e., wheat).…”

“…Furthermore, by following Janzen and Adjemian (2017), we look at the linkages at different times of day (i.e., daytime vs. overnight sessions) because every market might have different periods of concentrated trading when there is more information production. Interestingly, we find that the linkages between China's and international major crude oil futures are much stronger during the INE overnight session than during the INE daytime trading session.…”

Corn Market: Big Changes, New Perspectives, and Fresh Research Opportunities

“…New developments in different commodity markets over time have created more interest in new futures contracts. For example, a recent article about the wheat market discusses how the decline of U.S. share in production and exports and the emergence of former Soviet Union countries (specifically Russia, Ukraine and Kazakhstan) as large exporters may be changing wheat price dynamics in the world (Janzen and Adjemian, 2017). The growing importance of wheat production in Europe would make local supply and demand relatively more relevant to determine wheat prices in Europe.…”