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

Imad Moosa and Bernard Bollen

Applied Economics Letters, 2001, vol. 8, issue 11, 693-695

Abstract: 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.

Date: 2001
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Citations: View citations in EconPapers (9)

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DOI: 10.1080/13504850110036355

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