Premium
A test of the Samuelson Hypothesis using realized range
Author(s) -
Kalev Petko S.,
Duong Huu Nhan
Publication year - 2008
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20328
Subject(s) - futures contract , economics , econometrics , volatility (finance) , financial economics , nonparametric statistics
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. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:680–696, 2008