Do futures prices exhibit maturity effect? A nonparametric revisit

Liu

Applied Economics, 2014, vol. 46, issue 8, 813-825

Abstract: The maturity effect (ME) of futures prices postulated by Samuelson (1965) is re-examined using three nonparametric tests. The consistent entropy asymmetry test by Racine and Maasoumi (2007) indicates that variance is an appropriate risk or uncertainty measure for ME, and value-at-risk and expected shortfall are also adopted. The Kolmogorov--Smirnov dominance test and Wilcoxon rank sum and signed rank test are employed to rank the estimates of the three risk measures under a moving-window framework. The testing outcomes are contingent on futures type, testing method and risk measures. The testing outcomes show mild support for ME.

Date: 2014
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DOI: 10.1080/00036846.2013.854299

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