Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of US and Foreign Futures Contracts
Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of US and Foreign Futures Contracts

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Publisher:

Published: 2004

Total Pages:

ISBN-13:

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In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and analyzing each contract separately. Using 6805 futures contracts drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the majority of contracts. In addition, the maturity effect tends to be stronger in agricultural and energy commodities than in financial futures. We also examine the hypothesis in Bessembinder, Coughenour, Seguin, and Smoller (1996), which states that negative covariance between the spot price and net carry cost causes the maturity effect in futures. Our results provide very weak evidence in favor of this hypothesis.

Reexamining the Maturity Effect Using Extensive Futures Data
Reexamining the Maturity Effect Using Extensive Futures Data

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Publisher:

Published: 2003

Total Pages:

ISBN-13:

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In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches expiration. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts over longer period than previous studies: 8451 futures contracts drawn from 74 commodities and four International exchanges, (London, Sydney, Tokyo and Winnipeg Futures), in addition to the U.S. markets over the years from 1960 to 2000. Strong support is found for the maturity effect in agricultural and energy commodities, but not for financial futures. Moreover, negative covariance between spot price and net carry cost appears to be able explain the maturity effect fairly well for commodity futures.

Integrated Uncertainty in Knowledge Modelling and Decision Making
Integrated Uncertainty in Knowledge Modelling and Decision Making

Author: Katsuhiro Honda

Publisher: Springer Nature

Published: 2022-03-03

Total Pages: 389

ISBN-13: 3030980189

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This book constitutes the refereed proceedings of the 98th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2021, held in Ishikawa, Japan, in March 2022. The 30 full papers presented were carefully reviewed and selected from 46 submissions. The papers deal with all aspects of uncertainty modelling and management and are organized in topical sections on uncertainty management and decision making, optimization and statistical methods, pattern classification and data analysis, machine learning, and economic applications.

Financial Mathematics, Volatility and Covariance Modelling
Financial Mathematics, Volatility and Covariance Modelling

Author: Julien Chevallier

Publisher: Routledge

Published: 2019-06-28

Total Pages: 381

ISBN-13: 1351669095

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This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Jumps, Martingales, and Foreign Exchange Futures Prices
Jumps, Martingales, and Foreign Exchange Futures Prices

Author: Zuliu Hu

Publisher: International Monetary Fund

Published: 1996-02-01

Total Pages: 26

ISBN-13: 1451921640

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A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on the validity of this model. First, contrary to the suggestions in the literature, changes in foreign currency futures prices are serially correlated; variance ratio tests and other related tests overwhelmingly reject Samuelson’s martingale hypothesis. Second, foreign exchange futures prices do not appear to have continuous sample path; the evidence suggests the presence of a jump component, which may lead to pricing bias when applying the standard Black-Scholes option pricing formula to foreign exchange markets.

The Futures
The Futures

Author: Emily Lambert

Publisher: ReadHowYouWant.com

Published: 2010-11-05

Total Pages: 338

ISBN-13: 1459608143

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In The Futures, Emily Lambert, senior writer at Forbes magazine, tells us the rich and dramatic history of the Chicago Mercantile Exchange and Chicago Board of Trade, which together comprised the original, most bustling futures market in the world. She details the emergence of the futures business as a kind of meeting place for gamblers and farmers and its subsequent transformation into a sophisticated electronic market where contracts are traded at lightning-fast speeds. Lambert also details the disastrous effects of Wall Street's adoption of the futures contract without the rules and close-knit social bonds that had made trading it in Chicago work so well. Ultimately Lambert argues that the futures markets are the real ''free'' markets and that speculators, far from being mere parasites, can serve a vital economic and social function given the right architecture. The traditional futures market, she explains, because of its written and cultural limits, can serve as a useful example for how markets ought to work and become a tonic for our current financial ills.