https://scholars.lib.ntu.edu.tw/handle/123456789/414897
Title: | An analysis on the intraday trading activity of VIX derivatives | Authors: | Kao D.-X. Tsai W.-C. Wang Y.-H. Yen K.-C. |
Issue Date: | 2018 | Journal Volume: | 38 | Journal Issue: | 2 | Start page/Pages: | 158-174 | Source: | Journal of Futures Markets | Abstract: | We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the net signed trading variables of VIX futures are significant predictors of future changes in the VIX index. Our results provide support for the informational role of VIX futures and evidence that trading activity in VIX options is likely caused by temporary liquidity shocks rather than the likelihood of informed trading. ? 2017 Wiley Periodicals, Inc. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414897 | ISSN: | 02707314 | DOI: | 10.1002/fut.21857 |
Appears in Collections: | 財務金融學系 |
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