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Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts

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  • Daal, Elton
  • Farhat, Joseph
  • Wei, Peihwang P.
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    File URL: http://www.sciencedirect.com/science/article/B6W61-4GMGWM9-1/2/9d1242c0e2f25b1ccb4dc074cf137fa2
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 15 (2006)
    Issue (Month): 2 ()
    Pages: 113-128

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    Handle: RePEc:eee:revfin:v:15:y:2006:i:2:p:113-128

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    Web page: http://www.elsevier.com/locate/inca/620170

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    1. Chamberlain, Trevor W, 1989. "Maturity Effects in Futures Markets: Some Evidence from the City of London," Scottish Journal of Political Economy, Scottish Economic Society, vol. 36(1), pages 90-95, February.
    2. Grammatikos, Theoharry & Saunders, Anthony, 1986. "Futures Price Variability: A Test of Maturity and Volume Effects," The Journal of Business, University of Chicago Press, vol. 59(2), pages 319-30, April.
    3. Anderson, Ronald W & Danthine, Jean-Pierre, 1983. "The Time Pattern of Hedging and the Volatility of Futures Prices," Review of Economic Studies, Wiley Blackwell, vol. 50(2), pages 249-66, April.
    4. Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-93, December.
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    Cited by:
    1. Saurabh Gupta & Prabina Rajib, 2012. "Samuelson Hypothesis & Indian Commodity Derivatives Market," Asia-Pacific Financial Markets, Springer, vol. 19(4), pages 331-352, November.
    2. Hilal, Sawsan & Poon, Ser-Huang & Tawn, Jonathan, 2011. "Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2374-2387, September.

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