Maturity effects in futures contracts on the SAFEX market

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dc.contributor.author Motengwe, Chris
dc.contributor.author Alagidede, Paul
dc.date.accessioned 2017-01-31T06:19:50Z
dc.date.issued 2016-12
dc.description.abstract This article examines maturity effects for futures contracts listed on the South African Futures Exchange (SAFEX). Three classes of derivative contracts are examined; agricultural, metals and energy futures. Estimation of the Samuelson effect is by ordinary least squares (OLS) approach using the volatility estimator in Garman and Klass (1980), Parkinson (1980) and Serletis (1992). The analysis simultaneously tests for the Samuelson effect while establishing significance of traded volume, change in open interest and bid-ask spread on intraday volatility. Multicollinearity and seasonality are incorporated to examine if maturity effects remain in the contracts. Findings are that only wheat supports maturity effects. However, white maize and silver volatility decline as time-to-maturity diminishes. The implications of the results for traders and market participants are discussed. en_ZA
dc.description.department Agricultural Economics, Extension and Rural Development en_ZA
dc.description.embargo 2017-12-31
dc.description.librarian hb2017 en_ZA
dc.description.sponsorship The Bradlow Foundation under the University of the Witwatersrand’s Bradlow Scholarship programme. en_ZA
dc.description.uri http://www.tandfonline.com/loi/ragr20 en_ZA
dc.identifier.citation Chris Motengwe & Paul Alagidede (2016) Maturity Effects in Futures Contracts on the SAFEX Market, Agrekon, 55:4, 331-355, DOI: 10.1080/03031853.2016.1243064. en_ZA
dc.identifier.issn 0303-1853 (print)
dc.identifier.issn 2078-0400 (online)
dc.identifier.other 10.1080/03031853.2016.1243064
dc.identifier.uri http://hdl.handle.net/2263/58698
dc.language.iso en en_ZA
dc.publisher Routledge en_ZA
dc.rights © 2016 Agricultural Economics Association of South Africa. This is an electronic version of an article published in Agrekon, vol. 55, no. 4, pp. 331-355, 2016. doi : 10.1080/03031853.2016.1243064. Agrekon is available online at : http://www.tandfonline.comloi/ragr20. en_ZA
dc.subject Futures market en_ZA
dc.subject Volatility en_ZA
dc.subject Contract maturity en_ZA
dc.subject Samuelson hypothesis en_ZA
dc.subject Ordinary least squares (OLS) en_ZA
dc.subject South African Futures Exchange (SAFEX) en_ZA
dc.title Maturity effects in futures contracts on the SAFEX market en_ZA
dc.type Postprint Article en_ZA


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