Econ Papers Daily / 期刊论文
农产品衍生品市场中的报价行为与价格发现
Quoting behavior and price discovery in agricultural derivatives markets
摘要
Using Chicago Mercantile Exchange intraday data in 2024, this paper examines price discovery between agricultural futures and options. Options respond faster to new information, whereas futures contribute more to the efficient price shared by both markets. We provide a market microstructure explanation for this pattern. We find a 1 per cent increase in options’ relative aggressive quoting, defined as quotes that move the best bid or offer price, is associated with a 0.25 per cent increase in their relative speed of price adjustment and a 0.15 per cent decline in their relative contribution to the efficient price. By contrast, options’ relative trading volume is negatively associated with their speed advantage and is unrelated to their contribution to the efficient price. These findings highlight the distinct roles of quoting and trading in cross-market price discovery.
中文摘要
本文利用2024年芝加哥商品交易所的日内数据，考察农产品期货与期权之间的价格发现。期权对新信息反应更快，而期货对两个市场共享的有效价格贡献更大。我们为这一模式提供了市场微观结构解释。我们发现，期权相对激进报价——定义为推动最优买价或卖价的报价——每增加1%，其相对价格调整速度提高0.25%，其对有效价格的相对贡献下降0.15%。相比之下，期权的相对交易量与速度优势负相关，且与其对有效价格的贡献无关。这些发现凸显了报价和交易在跨市场价格发现中的不同作用。