This paper has examined the Samuelson’s hypothesis which states that the price volatility increases as thecontract nears its maturity. It has also examined the BCSS hypothesis which provides that negativecovariance between the spot price and net cost of carry explains the maturity effect. The...

This paper has examined the Samuelson’s hypothesis which states that the price volatility increases as the contract nears its maturity. It has also examined the BCSS hypothesis which provides that negative covariance between the spot price and net cost of carry explains the maturity...