Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses

John Cuddington and Arturo L. Va'squez Cordano ()
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Arturo L. Va'squez Cordano: Division of Economics and Business, Colorado School of Mines
Authors registered in the RePEc Author Service: Arturo Vásquez

No 2013-09, Working Papers from Colorado School of Mines, Division of Economics and Business

Abstract: This paper develops GARCH and VEC-MGARCH-based tests of four hypotheses from Fama and French (1988) involving linkages between spot and futures prices --- both their levels and variances. The tests are applied to monthly data for seven metals traded on the London Metal Exchange over the period 1988:11, where available, through 2008:07.

Keywords: Samuelson Futures Price Hypothesis; Cost-of-Carry Model; Theory of Storage; Cointegration; MGARCH Models; Spot and Futures Prices (search for similar items in EconPapers)
JEL-codes: C21 C32 G13 Q39 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2013-08
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http://econbus-papers.mines.edu/working-papers/wp201309.pdf First version, 2013 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:mns:wpaper:wp201309

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