Maturity effect on stock index futures in an emerging market
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504851.2010.522512
Reference18 articles.
1. Some determinants of the volatility of futures prices
2. Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index
3. Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI
4. Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis
5. Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets
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