Competing hypotheses on the Samuelson effect in futures markets

Chia-Cheng Ho, Pei-Hsuan Lee and Pei-Su Tsai

Applied Economics, 2023, vol. 55, issue 20, 2261-2272

Abstract: Using data of 12 commodity futures traded on three major futures exchanges in U.S., we find that about 55% of the agricultural futures contracts exhibit the Samuelson effect, about 30% for energy futures contracts, but only about 20% for metal and financial futures contracts. The proposed approach also enables us to take the unprecedented step of directly comparing explanatory power of the state variable hypothesis and the mean reversion hypothesis over the Samuelson effect. The result overall suggests that the mean reversion hypothesis can better explain the Samuelson effect.

Date: 2023
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DOI: 10.1080/00036846.2022.2102569

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