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.

在本文中，我们研究了能源期货合约和一种季节性的存在，这在文献中很少或根本没有关注——我们称之为交易时间季节性。这种季节性是通过期货交易时间暴露出来的，而不是它的到期时间，也不是基础现货价格。正如我们所展示的，它可以与定价内核中的季节性联系起来，但后者无法完全解释它。调查了它与套利和 CAPM 违规的关系，并使用描述性分析、Kruskal-Wallis 测试和 CAPM 方法确认了天然气和原油期货市场的存在。我们围绕影响的可能原因进行了非正式讨论，并确定了季节性对冲压力和市场情绪。