Spreads and Non-Convergence in Chicago Board of Trade Corn, Soybean, and Wheat Futures: Are Index Funds to Blame?
This paper evaluates the role that index funds have played in recent convergence problems of Chicago Board of Trade corn, soybean, and wheat futures contracts. These new market participants are widely considered to have inflated futures prices and/or expanded spreads between futures prices. Large spreads in futures markets contribute to a lack of convergence by uncoupling cash and futures markets. Statistical tests provide no evidence that rolling of positions by index funds or the initiation of large index positions in a “crowded market space” have contributed to an expansion of the spreads. Copyright 2011, Oxford University Press.
Volume (Year): 33 (2011)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK|
Phone: (414) 918-3190
Fax: 01865 267 985
Web page: http://aepp.oxfordjournals.org/
More information through EDIRC
|Order Information:||Web: http://www.oup.co.uk/journals|
When requesting a correction, please mention this item's handle: RePEc:oup:apecpp:v:33:y:2011:i:1:p:116-142. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.