Maturity effect on stock index futures in an emerging market

摘要

This article examines the maturity effect or Samuelson hypothesis on stock index futures in the emerging Greek market, using a range of methodologies such as linear models and conditional variance specifications. The results obtained show that the Greek index futures exhibit the phenomenon of maturity effect. Furthermore, we document a positive relationship between futures price volatility and volume and a negative one between volatility and open interest. However, including trading volume and open interest in a conditional variance framework, we provide evidence on the simultaneous diminution of maturity effect.View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504851.2010.522512