This study examines the abnormal returns of Chinese firms cross-listed on both mainland (A-share) and Hong Kong (H-share) stock markets. The results show that the abnormal returns are larger for the existing H-shares cross-listing back as A-shares in the mainland market (H-to-A listings) than...

This paper assesses variance risk premium and forecasts out-of-sample VIX under GARCH(1,1), GJR, and Heston-Nandi models. With the date-t GARCH parameters estimated in a moving window fashion from 3,500 daily returns of the S&P 500 index, a hypothetical date-t VIX turns out to be below the...

Zhu and Lian (Journal of Futures Markets, 2012) proposed the first closed-form formulas for VIX futures prices, whihch are conceptually appealing and easy to implement. Unfortunately, the paper is found to contain three kinds of errors. The main formula (9) for the price of futures misses the...