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Maturity effect on stock index futures in an emerging market

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  • Dimitris Kenourgios
  • Athanasios Katevatis

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.

Suggested Citation

  • Dimitris Kenourgios & Athanasios Katevatis, 2011. "Maturity effect on stock index futures in an emerging market," Applied Economics Letters, Taylor & Francis Journals, vol. 18(11), pages 1029-1033.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:11:p:1029-1033
    DOI: 10.1080/13504851.2010.522512
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    Cited by:

    1. Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
    2. Sanjay Sehgal & Tarunika Jain Agrawal, 2019. "Impact of Commodity Transaction Tax on Market Liquidity, Volatility, and Government Revenues: An Empirical Study for India," Vikalpa: The Journal for Decision Makers, , vol. 44(1), pages 12-29, March.
    3. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).

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