Quantile information share under Markov regime‐switching
将分位数信息份额方法扩展到马尔可夫区制转换模型，发现大多数商品现货与期货的分位数信息份额呈鞍面关系，且期货市场信息份额在低波动状态下更大。
Abstract This paper introduces a new quantile information share (QIS) method by extending the conventional QIS to Markov regime‐switching models. For most commodities in the full sample, our results show that the relationship among the spot QIS, the spot return quantile, and the futures return quantile is displayed by a saddle surface or a half saddle surface. The information share (IS) of the futures markets is saddle shaped in the low‐ and high‐volatility states. Moreover, the spot market has a larger IS in the low‐volatility state than that in the high‐volatility state for most commodities.