Hammoudeh, Shawkat; Sarafrazi, Soodabeh; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 2011
corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the … run. The negative cross-price open interest effects suggest that there is a money outflow from all commodities in response … to increases in open interest positions in the corn futures markets, indicating that active arbitrage activity takes …