Spreads and Non-Convergence in Chicago Board of Trade Corn, Soybean, and Wheat Futures: Are Index Funds to Blame?
Darrel L. Good and
Eugene L. Kunda
Applied Economic Perspectives and Policy, 2011, vol. 33, issue 1, 116-142
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.
References: Add references at CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Journal Article: Spreads and Non-Convergence in Chicago Board of Trade Corn, Soybean, and Wheat Futures: Are Index Funds to Blame? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:apecpp:v:33:y:2011:i:1:p:116-142
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economic Perspectives and Policy is currently edited by Timothy Park, Tomislav Vukina and Ian Sheldon
More articles in Applied Economic Perspectives and Policy from Agricultural and Applied Economics Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().