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Article: Causality in the VIX futures market

TitleCausality in the VIX futures market
Authors
Issue Date2012
PublisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/
Citation
Journal Of Futures Markets, 2012, v. 32 n. 1, p. 24-46 How to Cite?
AbstractThis study examines the price-discovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear Engle-Granger cointegration test with an error correction mechanism (ECM) shows that during the full sample period, VIX futures prices lead spot VIX index, which implies that the VIX futures market has some price-discovery function. But a modified Baek and Brock nonlinear Granger test detects bi-directional causality between VIX and VIX futures prices, suggesting that both spot and futures prices react simultaneously to new information. Quarter-by-quarter investigations show that, on average, the estimated parameters are not significantly different from zero, thus providing further evidence supporting information efficiency in the VIX futures market. © 2011 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/144604
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 0.520
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorShu, Jen_HK
dc.contributor.authorZhang, JEen_HK
dc.date.accessioned2012-02-03T06:15:23Z-
dc.date.available2012-02-03T06:15:23Z-
dc.date.issued2012en_HK
dc.identifier.citationJournal Of Futures Markets, 2012, v. 32 n. 1, p. 24-46en_HK
dc.identifier.issn0270-7314en_HK
dc.identifier.urihttp://hdl.handle.net/10722/144604-
dc.description.abstractThis study examines the price-discovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear Engle-Granger cointegration test with an error correction mechanism (ECM) shows that during the full sample period, VIX futures prices lead spot VIX index, which implies that the VIX futures market has some price-discovery function. But a modified Baek and Brock nonlinear Granger test detects bi-directional causality between VIX and VIX futures prices, suggesting that both spot and futures prices react simultaneously to new information. Quarter-by-quarter investigations show that, on average, the estimated parameters are not significantly different from zero, thus providing further evidence supporting information efficiency in the VIX futures market. © 2011 Wiley Periodicals, Inc.en_HK
dc.languageengen_US
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_HK
dc.relation.ispartofJournal of Futures Marketsen_HK
dc.titleCausality in the VIX futures marketen_HK
dc.typeArticleen_HK
dc.identifier.emailZhang, JE: jinzhang@hku.hken_HK
dc.identifier.authorityZhang, JE=rp01125en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/fut.20506en_HK
dc.identifier.scopuseid_2-s2.0-80355124335en_HK
dc.identifier.hkuros198426en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-80355124335&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume32en_HK
dc.identifier.issue1en_HK
dc.identifier.spage24en_HK
dc.identifier.epage46en_HK
dc.identifier.isiWOS:000297171300002-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridShu, J=12243627100en_HK
dc.identifier.scopusauthoridZhang, JE=7601346659en_HK

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