This paper contributes to the price discovery literature by establishing, for the first time, the role of commodity spot market auction data. Using the New Zealand whole milk powder market as an example, we show that auction-level data explain the price discovery dynamics above and beyond determinants previously identified as being relevant to spot and futures market price formation. In particular, the price discovery of the futures market rises with the volume of dairy products traded at the auction, signaling that the volume auctioned induces a change in the trading strategies of futures market participants. The whole milk powder discovery process is found to primarily take place in the spot market, which aligns well with the auction predating the introduction of the futures market, its higher volume, and lower trading costs.

本文通过首次确定商品现货市场拍卖数据的作用，为价格发现文献做出贡献。以新西兰全脂奶粉市场为例，我们表明拍卖层面的数据解释了价格发现动态，超出了先前确定为与现货和期货市场价格形成相关的决定因素。特别是，期货市场的价格发现随着拍卖中乳制品交易量的增加而上升，这表明拍卖量引起了期货市场参与者交易策略的变化。全脂奶粉的发现过程主要发生在现货市场，这与期货市场引入之前的拍卖非常吻合，期货市场的交易量更大，交易成本更低。