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Original Articles

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

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Pages 693-695 | Published online: 07 Oct 2010
 

Abstract

The maturity effect is re-examined using the S&P 500 futures contract. A model is estimated in which daily volatility, measured on the basis on intraday data, is determined by its previous value and the number of days remaining to maturity. The estimation results do not support the maturity effect. This finding is in line with existing evidence that indicates the absence of the maturity effect in financial futures prices.

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