Do spot market auction data help price discovery?

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