Abstract
ABSTRACT China’s agricultural futures market has long exhibited a unique phenomenon: the distribution of dominant contracts has always followed the ‘January-May-September’ pattern. Behind this phenomenon is the prominent problem of the deferred and discontinuous distribution of dominant contracts, which regulators hope to solve. Based on Chinese corn and cotton futures, this study uses the method of information leadership shares to investigate the price discovery ability of dominant and nearby contracts. The empirical results show that the deferred and discontinuous distribution of dominant contracts does not hinder the price discovery function. When dominant contracts are rolled over, this does not mean that the price discovery function simultaneously converts. Measures to accelerate the transfer of dominant contracts from deferred to nearby months could not fundamentally eliminate this phenomenon. A reasonable adjustment for liquidity distribution shall be considered the market’s self-regulation.
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