Corn, Soybeans, Exchange Traded Fund, ETF, Futures Contract
Finance and Financial Management
In this study I examine the relation between corn and soybeans exchange traded funds and their respective futures contracts. Considering that the exchange traded funds for these commodities track an index based on a basket of the futures instruments a natural link exists between exchange traded funds and futures contracts. This is the first study, to the best of my knowledge, to examine this relation by using cointegration methodology and provide a Vector Error Correction Model of the relation between these two prices.
Stoyu Ivanov. "Analysis of The Relation of Corn and Soybeans Futures and ETF Prices." Faculty Publications (2010).