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- W3121544344 abstract "This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures contract approaches its expiration. Utilizing intraday data from 20 futures markets in six futures exchanges, we find strong support for the Samuelson hypothesis in agricultural futures. However, the Samuelson hypothesis does not hold for other futures contracts. We also provide supporting evidence that the ‘negative covariance’ hypothesis is the key factor for the empirical support of the Samuelson hypothesis. In addition, our findings remain largely unaltered even after we control for seasonality and liquidity effects." @default.
- W3121544344 created "2021-02-01" @default.
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- W3121544344 date "2007-07-26" @default.
- W3121544344 modified "2023-09-23" @default.
- W3121544344 title "The Samuelson Hypothesis in Futures Markets: An Analysis Using Intraday Data" @default.
- W3121544344 hasPublicationYear "2007" @default.
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