Is there a maturity effect in the price of the S&P 500 futures contract?

Applied Economics Letters

Volumn 8, Issue 11, 2001, Pages 693-695

  Moosa, Imad A ^a   Bollen, Bernard ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0011142728     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850110036355     Document Type: Article

References (14)

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3. Barnhill, T. M., Jordan, J. V. and Seale, W. E. (1987) Maturity and refunding effects on treasury-bond futures price variance, Journal of Financial Research, 10, 121-131.
4. Castelino, M. G. (1982) Price-volatility of futures contracts: the maturity effect, mimeo, Hofstra University.
5. Castelino, M. G. and Francis, J. C. (1982) Basis speculation in commodity futures: the maturity effect, Journal of Futures Markets, 2, 195-206.
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10. Khoury, N. and Yourougou, P. (1993) Determinants of agricultural futures price volatilities: evidence from Winnipeg commodity exchange, Journal of Futures Markets, 13, 345-356.
11. Miller, K. D. (1979) The relation between volatility and maturity in futures contracts in Commodity Markets and Futures Prices (Ed.) R. M. Leuthold, Chicago Mercantile Exchange, Chicago.
12. Milonas, N. T. (1986) Price variability and the maturity effect in futures markets, Journal of Futures Markets, 6, 443-460.
13. Rutledge, D. J. S. (1976) A note on the variability of futures prices, Review of Economics and Statistics, 58, 118-20.
14. Samuelson, P. A. (1965) Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, 41-49.