We explore the effect of funding constraints on the trading costs of VIX futures. With an increase in funding constraints during a crisis (non-crisis) period, we observe a corresponding increase (decrease) in the proportional effective spread, quoted spread, order cost, asymmetric information,...

We utilize a novel data panel of institutional short-sell transactions (with identification flags for hedgers and non-hedgers), equity covered put warrant data, and securities lending data based on the Taiwan market to show that put warrant derivatives hedge re-balancing raises borrowing costs...