1. Ashutosh Verma C.V.R.S Vijay Kumar
An Examination of the Maturity Effect
in the Indian Commodities Futures Market By
Ashutosh Verma
C.V.R.S Vijay Kumar
Indian Institute of Forest Management, Bhopal

2. Maturity effect means variance of future price changes per unit of time increases as the time to maturity decreases.
BCSS hypothesis states that maturity effect will be present in those contracts where the covariance between net carry cost and the spot price is negative.

3. Proposed study examines the Samuelson and BCSS hypotheses in the Indian agriculture commodities futures market
Literature Review
Extensive studies in the financial futures markets
Studies on commodities futures market in developed countries.

4. Research Problems
Do the Indian agriculture commodities futures markets have maturity effect.
Does the negative covariance between the net carry cost and spot price explain the maturity effect

5. Data
Logarithmic returns of the daily settlement prices of all the agriculture commodities futures contracts.
Prices for the maturity month of the contract will not be considered.
Volatility and net carry cost will be computed on daily basis.
Each contract will be examined individually.

6. OLS Regressions will be performed for
Daily volatility on time to maturity
Daily volatility on time to maturity, calendar month and year on aggregated data
Relationship will be analyzed for
Net carry cost and spot price
Maturity effect and covariance between net carry cost and spot price.