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《Journal of Jilin Agricultural University》 2012-01
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Empirical Analysis on Maturity Effect of Chinese Corn Futures Contracts

YAN Yun-xian,ZHANG Yue-jie College of Economics and Management,Jilin Agricultural University,Changchun 130118,China  
Futures prices fluctuation is characteristic of futures markets,also fundamental to the existence of futures markets.Maturity effect is one of the reasons for corn futures price fluctuation.On the basis of the maturity effect theories,by utilizing the corn futures prices from Dalian Commodity Exchange and the corn cash prices from Jilin Corn Wholesale Market,this study tests the Samuelson and Bessembinder,Coughenour,Seguin and Smoelle(BCSS) maturity effects assumptions.The results show that the days to expire has little effects on price change and holding contracts cost plays an important role in corn futures fluctuation.
【Fund】: 教育部人文社会科学研究青年基金项目(11YJC790227);教育部人文社会科学研究规划基金项目(08JA790055);; 长春市科技局软科学研究计划项目(11RY31);; 吉林省教育厅“十二五”社会科学研究项目[吉教科文合字(2012)第430号];; 吉林农业大学博士启动基金项目(201142)
【CateGory Index】: F224;F724.5;F326.11
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