Maturity Effects in Futures Markets: Some Evidence from the City of London
This 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 36 (1989)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292|
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0036-9292|
When requesting a correction, please mention this item's handle: RePEc:bla:scotjp:v:36:y:1989:i:1:p:90-95. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.