Price Volatility and Contract Maturity: Evidence from an Online Futures Market for Sports Tickets

Jihui Chen and Xiaoyong Zheng ()
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Jihui Chen: Department of Economics, Illinois State University, Normal, IL 61790-4200, USA.

Eastern Economic Journal, 2013, vol. 40, issue 1, 56-70

Abstract: In this study, we test the relationship between price volatility and contract maturity, or the “Samuelson effect,” using futures contract prices for a major sports event. Applying four different performance measures, we show supportive evidence of the Samuelson effect in futures contracts for tickets to the Super Bowl XLIII [2009], using the dynamic panel estimation method. Our main contributions are testing the existing theories in a novel setting with unique product features and advancing our understanding of the prediction market for sports events.

Date: 2013
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