Maturity effect on stock index futures in an emerging market

Dimitris Kenourgios and Athanasios Katevatis

Applied Economics Letters, 2011, vol. 18, issue 11, 1029-1033

Abstract: This article examines the maturity effect or Samuelson hypothesis on stock index futures in the emerging Greek market, using a range of methodologies such as linear models and conditional variance specifications. The results obtained show that the Greek index futures exhibit the phenomenon of maturity effect. Furthermore, we document a positive relationship between futures price volatility and volume and a negative one between volatility and open interest. However, including trading volume and open interest in a conditional variance framework, we provide evidence on the simultaneous diminution of maturity effect.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:11:p:1029-1033

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DOI: 10.1080/13504851.2010.522512

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