Maturity Effects in Futures Markets: Some Evidence from the City of London
AbstractThis paper examines futures contracts traded in the London market for evidence of maturity effects in the variability of price and the volume of trading. Price variability is measured using a Parkinson estimator, which is based not only on daily opening and closing prices, but also on daily highs and lows. Unlike previous studies of maturity effects in futures markets, which have involved U.S. data, the present one finds little evidence to suggest that either the variability of price, or the volume of trading, is maturity dependent. Copyright 1989 by Scottish Economic Society.
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Bibliographic InfoArticle provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.
Volume (Year): 36 (1989)
Issue (Month): 1 (February)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292
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- Daal, Elton & Farhat, Joseph & Wei, Peihwang P., 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, Elsevier, vol. 15(2), pages 113-128.
- Gerard Gannon & Chi-Ying Chang, 2007. "Regulatory Change and Micro Structure Effects in SPI Futures," Accounting, Finance, Financial Planning and Insurance Series 2007_08, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
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