An analysis of the Samuelson hypothesis in South Africa
Date
2016
Authors
Haarburger, Terri
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Abstract
This 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.
Description
A 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, Johannesburg
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Citation
Haarburger, Terri (2016) An analysis of the Samuelson hypothesis in South Africa, University of the Witwatersrand, Johannesburg, <http://wiredspace.wits.ac.za/handle/10539/22363>