A test of the Samuelson Hypothesis using realized range

Petko S. Kalev and Huu Nhan Duong ()

Journal of Futures Markets, 2008, vol. 28, issue 7, 680-696

Abstract: 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

Date: 2008
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