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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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【Citations】
Chinese Journal Full-text Database 1 Hits
1 ZHANG Qi-wen,XING Yuan-yuan(College of Economic & Management,Northeast Agriculture University,Harbin 150030,China);Research on the Price Volatility of the Wheat Future Market and the Samuelson Hypothesis[J];Technology Economics;2007-07
【Co-references】
Chinese Journal Full-text Database 7 Hits
1 FANG Zhen-ming, WANG Chun-feng(Tianjin University, Tianjin 300072);A Study on the Intraday Effect in Shanghai Stock Market[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2004-03
2 Liu Hengyu(Finance and Economics School,Shanghai University,Shanghai 200433);Analysis of Intraday Liquidity Effect of China's Stock Market——The Measuring,Characteristic and Influencing Factors of Liquidity on High Frequency Data[J];Communication of Finance and Accounting(Academy);2008-05
3 WEI Li-ya, MA Yong-kai (University of Electronic Science and Technology of China, Chengdu 610054, China);Intra-day Periodicity of Fund Market: a Case Study on High Frequency Data in Shenzhen[J];Contemporary Economy & Management;2007-01
4 XU Jian-gang,TANG Guo-xing School of Management,Fudan University,Shanghai 200433,China;Volatility,trading volume,market depth: Evidence from copper futures in Shanghai futures exchange[J];Journal of Management Sciences in China;2006-02
5 Qu Wenzhou and Wu Shinong (School of Management, Xiamen University);An Analysis of Characteristics of China's Stock Market Microstructure[J];Economic Research Journal;2002-01
6 Zhishu Yang Zinai Li;An Empirical Analysis of Intraday Depth Behavior on Shanghai Stock Exchange[J];Journal of Finance;2003-06
7 ;中国股市日历效应研究:基于滚动样本检验的方法[J];Journal of Finance;2005-07
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