Author/Authors
KADIOĞLU, Eyüp Sermaye Piyasası Kurulu Denetleme Dairesi, turkey , KILIÇ, Saim İstanbul Kemerburgaz Üniversitesi, Turkey
Title Of Article
Maturity Effect In Future Contracts: Evidence from Turkey
شماره ركورد
44496
Abstract
Volatility increases as the maturity of the futures contracts approaches to the end, which named as Samuelson hypothesis or maturity effect, has been tested in Turkish Derivatives Exchange during period of 02.01.2008-02.08.2013 and Borsa Istanbul Derivatives Market during period of 05.08.2013-31.07.2014 by using daily variance of returns. Futures, underlying assets are USD/TL, €/TL, €/USD, Borsa Istanbul stock indices, Gold/TL, Gold/USD and single stock, are used for testing Samuelson hypothesis. Futures have been treading on Turkish Derivatives Exchange since 2005 and then after 2013 August on Borsa Istanbul Derivatives Market. Empirical results show that maturity effect is valid for futures in Turkey during the period of 02.01.2008-31.07.2014. In other words, volatility of future contracts increases as the time to maturity approaches in Turkey during the period of 02.01.2008-31.07.2014.
From Page
421
NaturalLanguageKeyword
Maturity effect , Samuelson hypothesis , Futures , Volatility
JournalTitle
Ege Academic Review (EAR)
To Page
433
JournalTitle
Ege Academic Review (EAR)
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