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https://scholarbank.nus.edu.sg/handle/10635/162988
| Title: | PRICE VARIABILITY AND MATURITY EFFECT OF FUTURES TRADING IN SIMEX | Authors: | ANDRIS LEONG SOU KWAN | Issue Date: | 1989 | Citation: | ANDRIS LEONG SOU KWAN (1989). PRICE VARIABILITY AND MATURITY EFFECT OF FUTURES TRADING IN SIMEX. ScholarBank@NUS Repository. | Abstract: | This report tests the hypothesis that there is a inverse I relationship between time to maturity and price variability t of futures contracts. The empirical tests involved the gold, Eurodollar, Deutschemark and Japanese yen futures traded in Singapore International Monetary Exchange. The evidence obtained suggests strongly that the "maturity effect" does not exist in the above futures. Other factors that may influence price variability of futures contracts are also discussed in this report. | URI: | https://scholarbank.nus.edu.sg/handle/10635/162988 |
| Appears in Collections: | Master's Theses (Restricted) |
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| b15174311.pdf | 5.27 MB | Adobe PDF | RESTRICTED | None | Log In |
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