Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?
研究了能源期货合约中一种被忽视的季节性：交易时间季节性，发现其存在于天然气和原油期货市场，并与套利和CAPM违背相关，为交易者和研究者提供了新的视角。
In this paper we investigate energy futures contracts and the presence of a type of seasonality, that has been given very little to no attention in the literature —- we call it trading time seasonality. Such seasonality is exposed through the futures trading time, not its maturity time, nor the underlying spot price. As we show, it can be linked to seasonality in the pricing kernel, but the latter cannot explain it fully. Its relationship to arbitrage and CAPM violation is investigated, and its presence is confirmed for natural gas and crude oil futures markets using descriptive analysis, Kruskal–Wallis testing and CAPM methodology. We provide an informal discussion around possible reasons for the effect and identify seasonal hedging pressure and market sentiments as such.