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Futures prices and the maturity effect

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  • Tina M. Galloway
  • Robert W. Kolb

Abstract

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  • Tina M. Galloway & Robert W. Kolb, 1996. "Futures prices and the maturity effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(7), pages 809-828, October.
    • Handle: RePEc:wly:jfutmk:v:16:y:1996:i:7:p:809-828
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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. Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
    3. Elton Daal & Joseph Farhat & Peihwang P. Wei, 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 113-128.
    4. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
    5. Jing Ao & Jihui Chen, 2020. "Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 627-654, October.
    6. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
    7. Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
    8. René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
    9. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, August.
    10. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    11. Roland Füss & Zeno Adams & Dieter G Kaiser, 2010. "The predictive power of value-at-risk models in commodity futures markets," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 261-285, October.
    12. Hoang‐Long Phan & Ralf Zurbruegg, 2020. "The time‐to‐maturity pattern of futures price sensitivity to news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 126-144, January.
    13. Jin, Na, 2011. "Three essays on commodity futures and options markets," ISU General Staff Papers 201101010800001428, Iowa State University, Department of Economics.
    14. Walid Matar & Saud M. Al-Fattah & Tarek Atallah & Axel Pierru, 2013. "An introduction to oil market volatility analysis," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 37(3), pages 247-269, September.
    15. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

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