Samuelson hypothesis and carry arbitrage: U.S. and China

Robert Brooks () and Joshua A. Brooks

Journal of International Money and Finance, 2022, vol. 128, issue C

Abstract: A comparative study between the U. S. and Chinese futures markets focusing on the Samuelson hypothesis of the maturity effect was conducted. We examine 15 matched pairs of futures markets between October 31, 2015 and October 31, 2021 and provide empirical evidence of carry arbitrage in only a few U. S. futures markets but no Chinese futures markets. We posit that structural factors drive the empirical differences identified here. The results improve our understanding of futures price volatility differences between markets and provide evidence of the role financing plays in existing and emerging futures markets.

Keywords: Samuelson hypothesis; Carry arbitrage; Maturity effect; Volatility; China; Futures contracts (search for similar items in EconPapers)
JEL-codes: G13 G17 G32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001012

DOI: 10.1016/j.jimonfin.2022.102698

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