2016
DOI: 10.1080/03031853.2016.1243064
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Maturity Effects in Futures Contracts on the SAFEX Market

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 interes… Show more

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“…Eugenio-Martıń et al, 2004;Kadir and Sibel, 2014), energy economics, macroeconomics and many others. Some of them use panel data to analyze issues related to international trade in agricultural products ( Van den Broeck et al, 2016;Veeman, 2017), industrial organization (Flores Tenorio, 2017Kingwell and Xayavong, 2017), financial systems (Motengwe and Alagidede, 2016;Gevorkyan, 2017), tourism economics, macroeconomics (Mthanti & Ojah, 2017), public sector and economic development (Ewing and Hamidi, 2015;O'Laughlin, 2016;Mosbah and Ryerson, 2016), agricultural economics (Agarwal, 1986;Barrios, 2008;Liao et al, 2015) and also energy economy (Burnett et al, 2013;Çoban and Topcu, 2013;Zheng and Wang, 2021). In the field of economics impact analysis, panel data methodologies are one of the most widely used (Kilic and Arica, 2014;Hussain and Haque, 2016).…”
mentioning
confidence: 99%
“…Eugenio-Martıń et al, 2004;Kadir and Sibel, 2014), energy economics, macroeconomics and many others. Some of them use panel data to analyze issues related to international trade in agricultural products ( Van den Broeck et al, 2016;Veeman, 2017), industrial organization (Flores Tenorio, 2017Kingwell and Xayavong, 2017), financial systems (Motengwe and Alagidede, 2016;Gevorkyan, 2017), tourism economics, macroeconomics (Mthanti & Ojah, 2017), public sector and economic development (Ewing and Hamidi, 2015;O'Laughlin, 2016;Mosbah and Ryerson, 2016), agricultural economics (Agarwal, 1986;Barrios, 2008;Liao et al, 2015) and also energy economy (Burnett et al, 2013;Çoban and Topcu, 2013;Zheng and Wang, 2021). In the field of economics impact analysis, panel data methodologies are one of the most widely used (Kilic and Arica, 2014;Hussain and Haque, 2016).…”
mentioning
confidence: 99%