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

See all articles by David E. Allen

David E. Allen

School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN); Department of Finance; School of Business and Law, Edith Cowan University

Stuart N. Cruickshank

School of Finance and Business Economics

Date Written: June 2002

Abstract

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

Allen, David Edmund and Cruickshank, Stuart N., Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK (June 2002). Edith Cowan University Working Paper. Available at SSRN: https://ssrn.com/abstract=315300 or http://dx.doi.org/10.2139/ssrn.315300

David Edmund Allen (Contact Author)

School of Mathematics and Statistics, The University of Sydney ( email )

School of Mathematics and Statistics F07
University of Sydney
Sydney, New South Wales 2006
Australia

HOME PAGE: http://www.maths.usyd.edu.au

Financial Research Network (FIRN)

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

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

Department of Finance ( email )

Taiwan
Taiwan

School of Business and Law, Edith Cowan University

100 Joondalup Drive
Joondalup, WA 6027
Australia

HOME PAGE: http://www.dallenwapty.com

Stuart N. Cruickshank

School of Finance and Business Economics ( email )

100 Joondalup Drive
Joondalup, WA 6027
Australia

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