VOLATILITY AND MATURITY EFFECTS IN THE PEPPER FUTURES MARKET Jatinder Bir Singh and Suresh Chand Aggarwal∗ Abstract: The Samuelson effect is well known theory in futures literature. It refers to increasing volatility of futures prices as the contract nears maturity. This article develops a theoretical basis for Samuelson’s effect, adopts a methodology that tests this issue, and empirically investigates the maturity effect for pepper futures market. JEL Classification: G13 Key Words: Futures, Maturity, Variability, Stationarity, Hedging ∗Jatinder Bir Singh is a Reader in Economics at SGGS College of Commerce (University of Delhi), Delhi. Dr. Suresh Chand Aggarwal is Reader in Economics at Satyawati College (University of Delhi), Delhi. Corresponding author: Jatinder Bir Singh, Reader in Economics, Department of Economics, SGGS College of Commerce (University of Delhi), Pitam Pura, Delhi- 110085. Telephone; 91 11 27851365 email: jbsingh75@hotmail.com 1