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

Authors
Moosa, MA Bollen, B
Citation
Ma. Moosa et B. Bollen, Is there a maturity effect in the price of the S&P 500 futures contract?, APPL ECON L, 8(11), 2001, pp. 693-695
Citations number
14
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
8
Issue
11
Year of publication
2001
Pages
693 - 695
Database
ISI
SICI code
1350-4851(200111)8:11<693:ITAMEI>2.0.ZU;2-N
Abstract
The maturity effect is re-examined using the S&P 500 futures contract. A mo del is estimated in which daily volatility, measured on the basis on intrad ay data, is determined by its previous value and the number of days remaini ng to maturity. The estimation results do not support the maturity effect. This finding is in line with existing evidence that indicates the absence o f the maturity effect in financial futures prices.