  Futures market contracts with varying maturities are traded concurrently and
the speed at which they process information is of value in understanding the
pricing discovery process. Using price discovery measures, including Putnins
(2013) information leadership share and intraday data, we quantify the
proportional contribution of price discovery between nearby and deferred
contracts in the corn and live cattle futures markets. Price discovery is more
systematic in the corn than in the live cattle market. On average, nearby
contracts lead all deferred contracts in price discovery in the corn market,
but have a relatively less dominant role in the live cattle market. In both
markets, the nearby contract loses dominance when its relative volume share
dips below 50%, which occurs about 2-3 weeks before expiration in corn and 5-6
weeks before expiration in live cattle. Regression results indicate that the
share of price discovery is most closely linked to trading volume but is also
affected, to far less degree, by time to expiration, backwardation, USDA
announcements and market crashes. The effects of these other factors vary
between the markets which likely reflect the difference in storability as well
as other market-related characteristics.
