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MATURITY AND REFUNDING EFFECTS ON TREASURY‐BOND FUTURES PRICE VARIANCE
Author(s) -
Barnhill Theodore M.,
Jordan James V.,
Seale William E.
Publication year - 1987
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1987.tb00484.x
Subject(s) - treasury , futures contract , maturity (psychological) , economics , econometrics , bond , variance (accounting) , financial economics , monetary economics , finance , accounting , psychology , history , developmental psychology , archaeology
Both Samuelson's maturity hypothesis and the Anderson‐Danthine state variable hypothesis are tested in this study of the variance of Treasury‐bond futures prices. Both maturity and the quarterly refunding of Treasury debt have statistically and economically significant effects on futures price variance. The evidence for a monotonic maturity effect is highly statistically significant and robust to changes in model specification. The quarterly refunding is less statistically significant, and it is not clear whether the greatest effect is in the auction week or two weeks thereafter. Economically, these two predictable effects are of greater importance than a change in the discount rate.