Maturity effect on stock index futures in an emerging market

Abstract

This article examines the maturity effect or Samuelson hypothesis on stock index futures in the emerging Greek market, using a range of methodologies such as linear models and conditional variance specifications. The results obtained show that the Greek index futures exhibit the phenomenon of maturity effect. Furthermore, we document a positive relationship between futures price volatility and volume and a negative one between volatility and open interest. However, including trading volume and open interest in a conditional variance framework, we provide evidence on the simultaneous diminution of maturity effect.