Samuelson Hypothesis and Carry Arbitrage

CFA Digest ◽  
2013 ◽  
Vol 43 (2) ◽  
pp. 32-34
Author(s):  
Marc L. Ross
Keyword(s):  
Samuelson Hypothesis

Samuelson Hypothesis & Indian Commodity Derivatives Market

2012 ◽  
Vol 19 (4) ◽  
pp. 331-352 ◽  
Author(s):  
Saurabh Kumar Gupta ◽  
Prabina Rajib
Keyword(s):  
Commodity Derivatives ◽  
Samuelson Hypothesis

Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis

1996 ◽  
Vol 4 (2) ◽  
pp. 45-58 ◽  
Author(s):  
Hendrik Bessembinder ◽  
Jay F. Coughenour ◽  
Paul J. Seguin ◽  
Margaret Monroe Smoller
Keyword(s):  
Term Structure ◽  
Samuelson Hypothesis

Empirical Study on the Maturity Structures of the Volatility in the KOSPI200 Index and Futures Returns

2006 ◽  
Vol 14 (2) ◽  
pp. 1-23
Author(s):  
Jong In Yoon
Keyword(s):  
Spot Market ◽  
Futures Market ◽  
Individual Investors ◽  
Foreign Investors ◽  
Volatility Clustering ◽  
Maturity Structure ◽  
Maturity Date ◽  
The Individual ◽  
Bivariate Garch Model ◽  
Samuelson Hypothesis

This study analyzes the maturity structure of the volatility in the KOSPI200 index and futures returns. Using bivariate GARCH model, we obtain the empirical evidences that the maturity structure of the volatility is U-shaped unlike the well-known Samuelson effect. Remarkably. U-shaped structures are found not only in the futures market but also in the spot market These evidences imply that returns are more volatile around tile futures maturity date in both markets. Some explanations are suggested about U-shaped maturity structures. First, under Samuelson hypothesis it is possible to show that the volatilities are high around the maturity date because of the volatility clustering and the volatility spill-over. Second, we try the regression of the volatility on variables such as the proportion of the individual investors, the foreign investors, and the program trading. These variables are U-shaped or inverse U-shaped due to the remaining maturity. Only before 2000, it is found that the proportions of the foreign investors and the program trading are compatible with U-shaped volatility structures.

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