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Is There a Maturity Effect in the Price of the S&P 500 Futures Contract?

April 26, 2017futures contract maturity price

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Is There a Maturity Effect in the Price of the S&P 500 Futures Contract?

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Author InfoMoosa, Imad A Bollen, Bernard 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. Copyright 2001 by Taylor and Francis Group Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.