This study examines the determinants of relative price discovery between the futures and cash prices in 30 index and commodity markets based on the Gonzalo and Granger (1995) permanent-transitory decomposition methodology. Twenty-eight indexes and commodities have proportional futures market information shares greater than 60%. Two commodities are the only exception: Feeders Cattle and Wheat-Minneapolis have price discovery occurring predominantly in the cash markets with information shares of their futures contracts of 33% and 40%, respectively. The research documents a significant cross-sectional variability of the information shares across the 30 indexes and commodities and finds that the information shares of the futures contract are lower when trading volume of the futures contract is lower, when the contract is on an energy commodity or agricultural commodity, and the commodity or index has a traded ETF.
Stoyu Ivanov. "Cross-Sectional Analysis of Index and Commodity Markets Price Discovery." Faculty Publications (2011).