Maturity Effects In Futures Markets PDF Download
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Author | : Rita Madarassy Akin |
Publisher | : |
Total Pages | : 42 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Maturity Effects in Futures Markets Book in PDF, ePub and Kindle
This essay examines the volatility dynamics of the financial futures returns. Samuelson (1965) demonstrated theoretically that the conditional variance of changes in futures prices should increase as the time-to-maturity decreases. Interestingly, the empirical evidence on the Samuelson hypothesis is mixed. This essay revisits that issue, applying a unified GARCH framework to a unique data set of daily data, spanning 19 years up to 2000, and eleven types of financial contracts (currencies, Samp;P500, Nikkei 225, Eurodollar, Treasury Bills). The conditional variance equation is augmented by time-to-maturity, open interest and trading volume variables. I detect evidence for a role of the time-to-maturity in currency futures, and mixed evidence in equity index and interest rate futures. Lagged trading volume and open interest are positively related to volatility in most of these financial futures but they do not fully account for the estimated conditional variance.
Author | : Nikolaos T. Milonas |
Publisher | : |
Total Pages | : 54 |
Release | : 1984 |
Genre | : Commodity exchanges |
ISBN | : |
Download Price Variability in Futures Markets Book in PDF, ePub and Kindle
Author | : Mark G. Castelino |
Publisher | : |
Total Pages | : 188 |
Release | : 1981 |
Genre | : Foreign exchange futures |
ISBN | : |
Download Futures Markets: the Maturity Effect on Risk and Return Book in PDF, ePub and Kindle
Author | : |
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Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of US and Foreign Futures Contracts Book in PDF, ePub and Kindle
In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and analyzing each contract separately. Using 6805 futures contracts drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the majority of contracts. In addition, the maturity effect tends to be stronger in agricultural and energy commodities than in financial futures. We also examine the hypothesis in Bessembinder, Coughenour, Seguin, and Smoller (1996), which states that negative covariance between the spot price and net carry cost causes the maturity effect in futures. Our results provide very weak evidence in favor of this hypothesis.
Author | : |
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Total Pages | : |
Release | : 2003 |
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Download Reexamining the Maturity Effect Using Extensive Futures Data Book in PDF, ePub and Kindle
In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches expiration. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts over longer period than previous studies: 8451 futures contracts drawn from 74 commodities and four International exchanges, (London, Sydney, Tokyo and Winnipeg Futures), in addition to the U.S. markets over the years from 1960 to 2000. Strong support is found for the maturity effect in agricultural and energy commodities, but not for financial futures. Moreover, negative covariance between spot price and net carry cost appears to be able explain the maturity effect fairly well for commodity futures.
Author | : Klaus Kobold |
Publisher | : Walter de Gruyter |
Total Pages | : 342 |
Release | : 1986 |
Genre | : Business & Economics |
ISBN | : 9783110109030 |
Download Interest Rate Futures Markets and Capital Market Theory Book in PDF, ePub and Kindle
Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.
Author | : Andris Sou Kwan Leong |
Publisher | : |
Total Pages | : 168 |
Release | : 1988 |
Genre | : Foreign exchange futures |
ISBN | : |
Download Price Variability and Maturity Effect of Futures Trading in Simex Book in PDF, ePub and Kindle
Author | : Robert Brooks |
Publisher | : |
Total Pages | : 51 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Samuelson Hypothesis of the Maturity Effect and Carry Arbitrage Book in PDF, ePub and Kindle
A comparative study is conducted between U. S. and Chinese futures markets with a particular focus on the Samuelson hypothesis of the maturity effect. We examine 44 futures markets in the U.S. and 43 futures markets in China between April 1, 1987 and June 1, 2018. Here we examine 16 matched pairs and results for all 87 contracts are reported in an online appendix. Empirical evidence is provided of carry arbitrage activities in only a few U. S. futures markets but no Chinese futures markets. An effort is made to identify the salient structural factors driving the empirical differences identified here. The results are important as an improved understanding of these differences in futures price volatility provides numerous benefits to a host of constituencies.
Author | : Pratap Chandra Pati |
Publisher | : |
Total Pages | : 19 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Maturity and Volume Effects on the Volatility Book in PDF, ePub and Kindle
This study attempts to examine the volatility dynamics and investigate the Samuelson Maturity Hypothesis, a source of non-stationary in volatility of futures price in the context of Indian Futures Market, by taking Nifty Index Futures traded on NSE. The data sample consist of daily closing price, volume and open interest of Nifty index futures from the period January 1, 2002 to December 29, 2005 for near month contract with 1009 sample data points. We construct data sample for time-to-maturity by rolling or switching over to the next maturing contract four days before the expiration date. For empirical analysis, ARMA-GARCH, ARMA-EGARCH models have been estimated. The empirical evidence suggests that there is time-varying volatility, volatility clustering and leverage effect in Indian futures market. This study does not provide support for the Samuelson Hypothesis in Indian futures market. The coefficient of the time-to-maturity variable is found to be insignificant. With respect to volume-volatility relationship, the results indicate a clear acceptance of Mixtures of Distribution Hypothesis i.e. there is positive contemporaneous relationship between futures prices volatility and volume. Hence this study concludes that time-to-maturity is not a strong determinant of futures price volatility, but rate of information arrival proxyed by volume and open interest are the important sources of volatility.
Author | : Ronald D. Ripple |
Publisher | : |
Total Pages | : 25 |
Release | : 2007 |
Genre | : Futures |
ISBN | : |
Download The Effect of Maturity, Trading Volume, and Open Interest on Crude Oil Futures Price Ranged-based Volatility Book in PDF, ePub and Kindle