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Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses

Author

Listed:
  • John T. Cuddington
  • Arturo L. Va'squez Cordano

    (Division of Economics and Business, Colorado School of Mines)

Abstract

This paper develops GARCH and VEC-MGARCH-based tests of four hypotheses from Fama and French (1988) involving linkages between spot and futures prices --- both their levels and variances. The tests are applied to monthly data for seven metals traded on the London Metal Exchange over the period 1988:11, where available, through 2008:07.

Suggested Citation

  • John T. Cuddington & Arturo L. Va'squez Cordano, 2013. "Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses," Working Papers 2013-09, Colorado School of Mines, Division of Economics and Business.
    • Handle: RePEc:mns:wpaper:wp201309
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    File URL: http://econbus-papers.mines.edu/working-papers/wp201309.pdf
    File Function: First version, 2013
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Samuelson Futures Price Hypothesis; Cost-of-Carry Model; Theory of Storage; Cointegration; MGARCH Models; Spot and Futures Prices;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q39 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Other

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