Brooks Publishes Study on Arbitrage in Futures Markets

Turner College assistant professor of finance Joshua Brooks recently published a study on carry arbitrage in the U.S. China. Carry arbitrage involves buying an instrument or commodity with borrowed funds and selling short a futures market position to hedge price risk. The study, titled “The Samuelson Hypothesis in Futures Markets: An Analysis using Intraday Data,” is set to appear in a November 2022 issue of the Journal of International Money and Finance. As indicated by the paper’s title, Brooks and his co-author Robert Brooks of the University of Alabama, also investigate the validity of the Samuelson hypothesis, which argues that the futures price volatility increases as the futures contract approaches its expiration. To do so, they examine 15 matched pairs of futures markets between October 31, 2015 and October 31, 2021. Although the study reports that evidence of carry arbitrage activities is extremely limited in most Chinese futures markets, it does find that evidence of carry arbitrage is widespread in many U. S. futures markets.

Journal of International Money and Finance publishes theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two.

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