A hipótese de Samuelson no mercado futuro brasileiro: um estudo empírico
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2005-11-24
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The research aimed to test whether what is known in the literature as Samuelson's Hypothesis applies to the Brazilian futures markets. The hypothesis postulates that the volatility of a futures prices returns increase as the maturity of the corresponding contract gets closer. Four futures contracts traded at the BM&F - Bolsa de Mercadorias & Futuros were studied, namely, those which have the Bovespa stock index, the American Dollar, cattle, and coffe as underlying assets. The period of the study covered from June-30-1994 to Apr-30-1998. Testing each futures contract with four different methodologies do not authorize saying that Samuelson´s Hypothesis applies to the Brazilian futures markets.