Samuelson's hypothesis in Greek stock index futures market

Samuelson (1965) argues that futures prices become increasingly volatile as futures contracts approach maturity. However, available evidence does not provide clear support for Samuelson’s hypothesis (or maturity effect) for index futures. This paper applies linear regressions and GARCH (volatility) models to examine the maturity effect of index futures contracts using daily data from the Athens Derivatives Exchange (ADEX). To the best of our knowledge, this is the first empirical investigation of the Greek futures markets. Our results suggest that volatility series depend on time to maturity. When data for the nearby month contracts are considered, employed GARCH models show a stronger support to the hypothesis than traditional linear regressions. In general, it is concluded that Samuelson’s hypothesis is valid, and therefore, volatility of the series increases as expiry approaches. These findings are helpful to risk managers dealing with Greek stock index futures.