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Applied Economics Letters Volume 8, 2001 - Issue 11
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Original Articles

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

Imad A. Moosa Department of Economics and Finance, La Trobe University, Bundoora, Victoria 3083, Australia
&
Bernard Bollen Department of Economics and Finance, La Trobe University, Bundoora, Victoria 3083, Australia
Pages 693-695 | Published online: 07 Oct 2010

References

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  • 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 .
  • Castelino , M. G. 1982 . Price-volatility of futures contracts the maturity effect , Hofstra University . mimeo
  • Castelino , M. G. and Francis , J. C. 1982 . Basis speculation in commodity futures: the maturity effect . Journal of Futures Markets , 2 : 195 – 206 .
  • Dusak-Miller , K. 1979 . “ The relation between volatility and maturity in futures contracts ” . In Commodity Markets and Futures Prices , Edited by: Leuthold , R. M. Chicago : Chicago Mercantile Exchange .
  • Galloway , T. and Kolb , R. W. 1996 . Futures prices and the maturity effect . Journal of Futures Markets , 16 : 809 – 828 .
  • Grauer , F. L. A. 1977 . Equilibrium in commodity futures markets: theory and tests , Stanford University . Unpublished Ph.D Dissertation
  • Kenyon , D. , Kenneth , K. , Jordan , J. , Seale , W. and McCabe , N. 1987 . Factors affecting agricultural futures price variance . Journal of Futures Markets , 7 : 73 – 91 .
  • Khoury , N. and Yourougou , P. 1993 . Determinants of agricultural futures price volatilities: evidence from Winnipeg commodity exchange . Journal of Futures Markets , 13 : 345 – 356 .
  • Miller , K. D. 1979 . “ The relation between volatility and maturity in futures contracts ” . In Commodity Markets and Futures Prices , Edited by: Leuthold , R. M. Chicago : Chicago Mercantile Exchange .
  • Milonas , N. T. 1986 . Price variability and the maturity effect in futures markets . Journal of Futures Markets , 6 : 443 – 460 .
  • Rutledge , D. J. S. 1976 . A note on the variability of futures prices . Review of Economics and Statistics , 58 : 118 – 120 .
  • Samuelson , P. A. 1965 . Proof that properly anticipated prices fluctuate randomly . Industrial Management Review , 6 : 41 – 49 .

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