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- W2105754908 abstract "Abstract 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." @default.
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- W2105754908 date "2011-03-01" @default.
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- W2105754908 title "Spreads and Non‐Convergence in Chicago Board of Trade Corn, Soybean, and Wheat Futures: Are Index Funds to Blame?" @default.
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- W2105754908 doi "https://doi.org/10.1093/aepp/ppr001" @default.
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