Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK
Edith Cowan University Working Paper
40 Pages Posted: 25 Jun 2002
Date Written: June 2002
In his seminal article, Samuelson (1965) formulated the proposition that futures prices are more volatile the closer a particular contract is to expiry. This paper applies testing procedures for the Samuelson Hypothesis (or maturity effect) to commodity futures contracts on the Sydney Futures Exchange, the London International Financial Futures and Options Exchange and the Singapore International Monetary Exchange. Traditional regression analysis is supplemented by fitting ARCH models to the data and in doing so it is concluded that evidence in favour of the Samuelson hypothesis does exist in a majority of the contracts analysed.
Keywords: Futures Prices, Volatility, Samuelson Hypothesis, ARCH Modelling
JEL Classification: G13
Suggested Citation: Suggested Citation