On Intraday Relation Between the Vix and Its Futures
| aut.relation.journal | New Perspectives in Corporate Financial Managment | en_NZ |
| aut.researcher | Frijns, Bart Pieter Marie | |
| dc.contributor.author | Frijns, B | en_NZ |
| dc.contributor.author | Tourani Rad, A | en_NZ |
| dc.contributor.author | Webb, R | en_NZ |
| dc.contributor.editor | Nguyen, D | en_NZ |
| dc.date.accessioned | 2016-10-24T23:50:47Z | |
| dc.date.available | 2016-10-24T23:50:47Z | |
| dc.date.copyright | 2014-06-05 | en_NZ |
| dc.date.issued | 2014-06-05 | en_NZ |
| dc.description.abstract | We 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.identifier.citation | Journal of Futures Markets, 36: 870–886. doi:10.1002/fut.21762 | |
| dc.identifier.doi | 10.1002/fut.21762 | |
| dc.identifier.uri | http://hdl.handle.net/10292/10095 | |
| dc.publisher | John Wiley & Sons | |
| dc.rights | Copyright © 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.rights.accessrights | OpenAccess | en_NZ |
| dc.subject | VIX; Futures; Vector autoregressions; Ultra-high frequency data | |
| dc.title | On Intraday Relation Between the Vix and Its Futures | en_NZ |
| dc.type | Journal Article | |
| pubs.elements-id | 169965 | |
| pubs.organisational-data | /AUT | |
| pubs.organisational-data | /AUT/Business & Law | |
| pubs.organisational-data | /AUT/Business & Law/Finance | |
| pubs.organisational-data | /AUT/Business & Law/Finance/Finance PBRF 2012 | |
| pubs.organisational-data | /AUT/Faculty of Business, Economics and Law | |
| pubs.organisational-data | /AUT/Faculty of Business, Economics and Law/Finance |