Zhang, Jian; Sanning, Lee W.; Shaffer, Sherrill - Crawford School of Public Policy, Australian National … - 2010
This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the individual VIX futures price series, 51 of 54 futures...