Zhengzhou Sugar Futures Prices Expire Effects Of Empirical Research

In his seminal article. Samuelson (1965) formulated the proposition that futures prices are more volatile the closer a particular contract is to expiry. This paper applies testing procedures for the Samuelson Hypothesis (or maturity effect) to commodity futures contracts on the Zhengzhou Commodity Exchange, China. Traditional regression analysis is supplemented by fitting ARCH models to the data and in doing so it is concluded that evidence in favour of the Samuelson hypothesis does exist in a majority of the contracts analyzed.