Revisiting the Samuelson hypothesis on energy futures

Liu, W. -H.

2020-04

10.1080/14697688.2020.1724319

QUANTITATIVE FINANCE   影响因子和分区

1469-7688

1469-7696

We investigate two issues in this article. First, this study employs almost stochastic dominance and the power spectrum to investigate the maturity effect, a hypothesis proposed by Samuelson (1965. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 1965, 6(2), 41-49; 1976. Is real-world price a tale told by the idiot of chance? The Review of Economics and Statistics, 1976, 58(1), 120-123) in the stochastic variance framework. Second, we also reevaluate the argument in Bessembinder et al. (1996. Is there a term structure of futures volatilities? Reevaluating the Samuelson hypothesis. Journal of Derivatives, 1996, 4(2), 45-58) that spot price seasonality plays a role in explaining this hypothesis. We include five types of energy futures for empirical examination. The outcomes provide evidence ranging from supporting, to being contrary to the hypothesis. For empirical analysis, we also highlight that the periodic pattern of the futures return series explains the difference in outcomes. Those in the spot price, futures price, or spot return series do not contribute to these outcomes.

Maturity effect Stochastic volatility Almost stochastic dominance Power spectrum

SCI ; SSCI

英语

第一 ; 通讯

Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences

Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods

WOS:000523154400001

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

ECONOMICS BUSINESS

Web of Science

Southern Univ Sci & Technol, Dept Finance, 1088 Xueyuan Rd, Shenzhen, Guangdong, Peoples R China

Liu, W. -H.. Revisiting the Samuelson hypothesis on energy futures[J]. QUANTITATIVE FINANCE,2020.

Liu, W. -H..(2020).Revisiting the Samuelson hypothesis on energy futures.QUANTITATIVE FINANCE.

Liu, W. -H.."Revisiting the Samuelson hypothesis on energy futures".QUANTITATIVE FINANCE (2020).