The Samuelson hypothesis in futures markets: An analysis using intraday data
- 7 October 2007
- journal article
- Published by Elsevier BV in Journal of Banking & Finance
- Vol. 32 (4), 489-500
- https://doi.org/10.1016/j.jbankfin.2007.06.011
Abstract
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.Keywords
This publication has 27 references indexed in Scilit:
- The realized volatility of FTSE‐100 futures pricesJournal of Futures Markets, 2002
- Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate ForecastsInternational Economic Review, 1998
- Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson HypothesisThe Journal of Derivatives, 1996
- Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term StructureThe Journal of Finance, 1995
- ARCH modeling in financeJournal of Econometrics, 1992
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- MATURITY AND REFUNDING EFFECTS ON TREASURY‐BOND FUTURES PRICE VARIANCEJournal of Financial Research, 1987
- Some determinants of the volatility of futures pricesJournal of Futures Markets, 1985
- The Time Pattern of Hedging and the Volatility of Futures PricesThe Review of Economic Studies, 1983
- Efficient tests for normality, homoscedasticity and serial independence of regression residualsEconomics Letters, 1980