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Do futures prices exhibit maturity effect? A nonparametric revisit

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  • Liu

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.

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  • Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
    • Handle: RePEc:taf:applec:v:46:y:2014:i:8:p:813-825
    DOI: 10.1080/00036846.2013.854299
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