EMPIRICAL TESTING OF THE SAMUELSON HYPOTHESIS: APPLICATION TO FUTURES MARKET IN TURKEY


Kapusuzoglu A.

ACTUAL PROBLEMS OF ECONOMICS, no.135, pp.321-328, 2012 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Publication Date: 2012
  • Title of Journal : ACTUAL PROBLEMS OF ECONOMICS
  • Page Numbers: pp.321-328

Abstract

The aim of this study is to test whether the Samuelson hypothesis is valid, which proposes that volatility increases as the time to maturity approaches in terms of futures contracts that are traded as based on Istanbul Stock Exchange National 100 Index (ISE 100) in Turkish Derivatives Exchange (TURKDEX). As a result of the conducted analyses, it was found that only 17% of ISE 100 futures contracts supported the Samuelson hypothesis, and the rest 83% of those contracts did not support a relevant hypothesis. In the light of these findings, it can be argued that the Samuelson hypothesis is not valid in terms of futures contracts, which are traded as based on Istanbul Stock Exchange National 100 Index, in other words, its maturity effect does not exist.