A Test of the Samuelson Hypothesis Using Realized Range

Journal of Futures Markets, Vol 28, issue 7, 2008

Posted: 29 May 2014

See all articles by Petko S. Kalev

Petko S. Kalev

La Trobe Business School

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Date Written: September 26, 2007

Abstract

This study examines the Samuelson Hypothesis, which postulates that futures price volatility increases as the futures contract approaches its expiration. Investigating intraday data and drawing on the recently developed concept of realized range, this study provides empirical evidence regarding the Samuelson Hypothesis for 14 agricultural, metal, energy, and financial futures markets in six futures exchanges. While utilizing a nonparametric test, a simple linear regression model and a system of seemingly unrelated regressions, the study finds strong support for the Samuelson Hypothesis in agricultural futures. In contrast, no support for the Samuelson Hypothesis is observed in any of the metal and financial futures.

Suggested Citation

Kalev, Petko S. and Duong, Huu Nhan, A Test of the Samuelson Hypothesis Using Realized Range (September 26, 2007). Journal of Futures Markets, Vol 28, issue 7, 2008, Available at SSRN: https://ssrn.com/abstract=2442642

Petko S. Kalev (Contact Author)

La Trobe Business School ( email )

Department of Economics and Finance
Donald Whitehead Building: Level 3, DWB313
Bundoora, Victoria 3086
Australia
+613 9479 6285 (Phone)
+613 9479 1654 (Fax)

HOME PAGE: http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

Huu Nhan Duong

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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