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

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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Year of publication:	2001
Authors:	Moosa, Imad ; Bollen, Bernard
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 11, p. 693-695
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195971