An Investigation of the Lead-Lag Relationship between the VIX Index and the VIX Futures on the S&P500

This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are applied. The results suggest that VIX futures lead spot VIX index, which implies that VIX futures market seems to play a more important role in price discovery

MoreLess

Year of publication:	2019
Authors:	Karagiannis, Sotirios
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Börsenkurs \| Share price \| Aktienindex \| Stock index \| Index \| Index number \| Futures

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Science, Innovation and New Technology, Vol. 1, No. 11, 43-56 (2014) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 3, 2014 erstellt
Classification:	C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904389