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 contracts meet the sufficient condition for an efficient market: the prices …

Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …

Using daily stock and bond futures data of three developed markets (the U.S., the UK and Germany), this study explores … time-varying extreme correlation of stock-bond futures markets. There is evidence of positive extreme correlation between … stock and bond futures markets in the U.S. and the UK when both markets are extremely bullish or bearish. By contrast …

Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …