Empirical Analysis on Maturity Effect of Chinese Corn Futures Contracts
中国玉米期货合约到期效应的实证分析

Futures prices fluctuation is characteristic of futures marke ts, also fundamental to the existence of futures markets. Maturity effect is one of the r easons for corn futures price fluctuation. On the basis of the maturity effect t heories, by utilizing the corn futures prices from Dalian Commodity Exchange and the corn cash prices from Jilin Corn Wholesale Market, this study tests the Sam uelson and Bessembinder, Coughenour, Seguin and Smoelle (BCSS) maturity effects assumptions. The results show that the days to expire has little effects on pric e change and holding contracts cost plays an important role in corn futures fluc tuation.