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dc.contributor.authorFrijns, Ben_NZ
dc.contributor.authorTourani Rad, Aen_NZ
dc.contributor.authorWebb, Ren_NZ
dc.contributor.editorNguyen, Den_NZ
dc.date.accessioned2016-10-24T23:50:47Z
dc.date.available2016-10-24T23:50:47Z
dc.date.copyright2014-06-05en_NZ
dc.identifier.citationJournal of Futures Markets, 36: 870–886. doi:10.1002/fut.21762
dc.identifier.urihttp://hdl.handle.net/10292/10095
dc.description.abstractWe study the intraday dynamics of the VIX and VIX futures for the period January 2, 2008 to December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using daily data, we observe that there is some evidence of causality from VIX futures to the VIX. Estimating a VAR using our ultra-high frequency data, we find strong evidence for bi-directional Granger causality between the VIX and the VIX futures. Overall, this effect appears to be stronger from VIX futures to the VIX than the other way around. Impulse response functions and variance decompositions confirm the dominance of the VIX futures. Lastly, we show that the causality from the VIX futures to the VIX has been increasing over our sample period, whereas the reverse causality has been decreasing. We observe that the VIX futures have become increasingly more important in the pricing of volatility. We further document that the VIX futures dominate the VIX more on days with negative returns, and on days with high values of the VIX, suggesting that those are the days when investors use VIX futures to hedge their positions rather than trading in the S&P500 index options.
dc.publisherJohn Wiley & Sons
dc.rightsCopyright © 2015 John Wiley & Sons. All rights reserved. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository. This article may not exactly replicate the final version published in (please see citation) as it is not a copy of this record. An electronic version of this article can be found online at: (Please see Publisher’s Version).
dc.subjectVIX; Futures; Vector autoregressions; Ultra-high frequency data
dc.titleOn Intraday Relation Between the Vix and Its Futuresen_NZ
dc.typeJournal Article
dc.rights.accessrightsOpenAccessen_NZ
dc.identifier.doi10.1002/fut.21762
pubs.elements-id169965
aut.relation.journalNew Perspectives in Corporate Financial Managmenten_NZ


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