Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures
研究分析了美国和新西兰的乳制品期货，发现现货市场设计（及时性、市场定价、期现分离、包容性）对期货对冲有效性至关重要，新西兰的期货能有效对冲现货，而美国的则不能。
This study provides evidence of the importance of a well‐defined and functioning spot market for the success of the associated futures market. Our analysis of hedging effectiveness and hedge ratio persistence shows that none of the United States (US) spot market indices may be hedged effectively with the Chicago Mercantile Exchange nonfat dry milk futures at short hedging horizons, whereas the New Zealand (NZ) Stock Exchange whole milk powder futures contract is an effective hedge for the Global Dairy Trade spot pricing benchmark. Four important dimensions of spot market design are identified—timeliness, market‐based measurement, forward‐spot separation, and inclusiveness.