An analysis of the Samuelson hypothesis in South Africa

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dc.contributor.authorHaarburger, Terri
dc.date.accessioned2017-04-12T12:31:20Z
dc.date.available2017-04-12T12:31:20Z
dc.date.issued2016
dc.descriptionA research report submitted in partial fulfilment of the requirements for the degree M.Com. Masters (Finance) in the School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburgen_ZA
dc.description.abstractThis study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts.en_ZA
dc.description.librarianMT2017en_ZA
dc.format.extentOnline resource (44, [4] leaves)
dc.identifier.citationHaarburger, Terri (2016) An analysis of the Samuelson hypothesis in South Africa, University of the Witwatersrand, Johannesburg, <http://wiredspace.wits.ac.za/handle/10539/22363>
dc.identifier.urihttp://hdl.handle.net/10539/22363
dc.language.isoenen_ZA
dc.subject.lcshFutures market--South Africa
dc.subject.lcshFinancial futures--South Africa
dc.subject.lcshInvestment analysis--South Africa
dc.subject.lcshStocks--Prices--Mathematical models
dc.titleAn analysis of the Samuelson hypothesis in South Africaen_ZA
dc.typeThesisen_ZA
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