The Samuelson hypothesis in futures markets: An analysis using intraday data

Duong, Huu Nhan; Kalev, Petko S.

doi:10.1016/j.jbankfin.2007.06.011

Cited by 63 publications

(55 citation statements)

References 34 publications

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“…7 The Anova F-tests of equality of mean volatility reveal that the null is rejected at the 1% of significance level between DAX and S&P 500 and between DAX and Nikkei. 8 Our results are in line with those obtained recently by Duong and Kalev (2008), who analyze 20 futures contracts, including the S&P 500, and find strong support for the Samuelson hypothesis only for agricultural futures.…”

Section: Data Series and Descriptive Statisticssupporting

confidence: 90%

Open and Closed Positions and Stock Index Futures Volatility

2011

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In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that daytraders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

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Section: Data Series and Descriptive Statisticssupporting

confidence: 90%

Open and Closed Positions and Stock Index Futures Volatility

2011

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“…As this condition is likely to hold for markets for real assets, but not for financial assets, the Samuelson Hypothesis is therefore more likely to hold for commodity futures than financial futures. Bessembinder et al (1996) and Duong and Kalev (2007) provided empirical evidence supporting this prediction in 11 and 20 futures market, respectively.…”

Section: Introductionmentioning

confidence: 56%

A test of the Samuelson Hypothesis using realized range

Kalev

Duong

2008

Journal of Futures Markets

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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

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“…The result of the study suggests that volatility depends on time to maturity and gives a stronger support to the Samuelson hypothesis compared to linear regressions. Duong and Kalev (2008) Verma and Kumar (2010), who examined the application of the Samuelson hypothesis and BCSS hypothesis in the Indian commodity futures market. Gupta and Rajib (2012) also examined this issue for eight commodities, and they concluded that the Samuelson hypothesis does not hold for the majority of the considered commodity contracts.…”

Section: Literature Reviewmentioning

confidence: 99%