A new leadership share measure for price discovery
提出新领导份额（NLS）度量，通过结构移动平均模型量化各市场对永久价格创新的贡献，模拟显示优于现有基准，实证发现ETF和近月期货在标普500指数价格发现中领导力相当。
We propose a new measure of price discovery, New Leadership Share (NLS), that attributes permanent information flow to individual markets using a uniquely identified structural moving average model. NLS quantifies each market’s contribution to permanent price innovations as a proportion of total informational leadership and offers key technical advantages, including uniqueness and adherence to standard statistical asymptotics. We derive closed-form solutions and analytical standard errors for bivariate markets and provide a framework that extends naturally to multiple markets without the variable ordering problem. Simulation results show that NLS consistently outperforms three widely used benchmarks. Empirical analysis of 2023 data finds that exchange-traded funds and front-month futures markets share equal leadership relative to the S&P 500 spot index.