The Samuelson hypothesis in futures markets : an analysis using intraday data

Duong, Huu Nhan and Kalev, Petko S. 2008, The Samuelson hypothesis in futures markets : an analysis using intraday data, Journal of banking and finance, vol. 32, no. 4, pp. 489-500.

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Title The Samuelson hypothesis in futures markets : an analysis using intraday data
Author(s) Duong, Huu Nhan
Kalev, Petko S.
Journal name Journal of banking and finance
Volume number 32
Issue number 4
Start page 489
End page 500
Publisher Elservier Ltd.
Place of publication Amsterdam, Netherlands
Publication date 2008
ISSN 0378-4266
1872-6372
Keyword(s) commodity futures
realized volatility
Samuelson hypothesis
time to maturity
Summary This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures contract approaches its expiration. Utilizing intraday data from 20 futures markets in six futures exchanges, we find strong support for the Samuelson hypothesis in agricultural futures. However, the Samuelson hypothesis does not hold for other futures contracts. We also provide supporting evidence that the ‘negative covariance’ hypothesis is the key factor for the empirical support of the Samuelson hypothesis. In addition, our findings remain largely unaltered even after we control for seasonality and liquidity effects.
Language eng
Field of Research 150299 Banking, Finance and Investment not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
HERDC collection year 2008
Copyright notice ©2007, Elsevier B.V
Persistent URL http://hdl.handle.net/10536/DRO/DU:30019862

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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