Maturity Effects in Futures Markets: Some Evidence from the City of London

Trevor W Chamberlain

Scottish Journal of Political Economy, 1989, vol. 36, issue 1, 90-95

Abstract: This paper examines futures contracts traded in the London market for evidence of maturity effects in the variability of price and the volume of trading. Price variability is measured using a Parkinson estimator, which is based not only on daily opening and closing prices, but also on daily highs and lows. Unlike previous studies of maturity effects in futures markets, which have involved U.S. data, the present one finds little evidence to suggest that either the variability of price, or the volume of trading, is maturity dependent. Copyright 1989 by Scottish Economic Society.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scotjp:v:36:y:1989:i:1:p:90-95

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