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Price Volatility and Contract Maturity: Evidence from an Online Futures Market for Sports Tickets

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  • Jihui Chen

    (Department of Economics, Illinois State University, Normal, IL 61790-4200, USA.)

  • Xiaoyong Zheng

    (Department of Agriculture and Resource Economics, North Carolina State University, Raleigh, NC 27695, USA.)

Abstract

In this study, we test the relationship between price volatility and contract maturity, or the “Samuelson effect,” using futures contract prices for a major sports event. Applying four different performance measures, we show supportive evidence of the Samuelson effect in futures contracts for tickets to the Super Bowl XLIII [2009], using the dynamic panel estimation method. Our main contributions are testing the existing theories in a novel setting with unique product features and advancing our understanding of the prediction market for sports events.

Suggested Citation

  • Jihui Chen & Xiaoyong Zheng, 2013. "Price Volatility and Contract Maturity: Evidence from an Online Futures Market for Sports Tickets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 40(1), pages 56-70, December.
    • Handle: RePEc:pal:easeco:v:40:y:2013:i:1:p:56-70
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    Cited by:

    1. Jing Nie, 2019. "High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1394-1434, November.

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