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Futures prices and the maturity effect

✍ Scribed by Galloway, Tina M.; Kolb, Robert W.

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 976 KB
Volume: 16
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199610)16:7<809::aid-fut5>3.0.co;2-s

No coin nor oath required. For personal study only.

✦ Synopsis

Barley, flaxseed, rapeseed, and rye arc Canadian (Winnipeg) commodities. Winnipeg conducts the only barley and rye futures markets in the world, and the only flaxseed futures market in North America. 'Whcn the overall volatility variable, 0: 6.monrh, is omitted from the regression equation, the adjusted R2 values deerease, and the remaining coefficient estimates increase in absolute value, but the signs and significance levels of the coefficient estimates are similar to those reported in Table IV. 51nterestingly, only twn nfthe four wheat futures (Chicago and Winnipeg) show a significant maturity effect. Also, of the metals, copper is the commodity whose prices behave the least like a precious metal.

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