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Samuelson hypothesis and carry arbitrage: U.S. and China

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  • Brooks, Robert
  • Brooks, Joshua A.

Abstract

A comparative study between the U. S. and Chinese futures markets focusing on the Samuelson hypothesis of the maturity effect was conducted. We examine 15 matched pairs of futures markets between October 31, 2015 and October 31, 2021 and provide empirical evidence of carry arbitrage in only a few U. S. futures markets but no Chinese futures markets. We posit that structural factors drive the empirical differences identified here. The results improve our understanding of futures price volatility differences between markets and provide evidence of the role financing plays in existing and emerging futures markets.

Suggested Citation

  • Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
    • Handle: RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001012
    DOI: 10.1016/j.jimonfin.2022.102698
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    References listed on IDEAS

    as
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    16. John Hua Fan & Tingxi Zhang, 2020. "The untold story of commodity futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 671-706, April.
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    More about this item

    Keywords

    Samuelson hypothesis; Carry arbitrage; Maturity effect; Volatility; China; Futures contracts;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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