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

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.

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Year of publication:	2013-08
Authors:	Cuddington, John T. ; Va'squez Cordano, Arturo L.
Institutions:	Division of Economics and Business, Colorado School of Mines
Subject:	Samuelson Futures Price Hypothesis \| Cost-of-Carry Model \| Theory of Storage \| Cointegration \| MGARCH Models \| Spot and Futures Prices

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2013-09 36 pages long
Classification:	C21 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing ; Q39 - Nonrenewable Resources and Conservation. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010907155