دانلود مقاله ISI انگلیسی شماره 101654
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101654 2017 15 صفحه PDF سفارش دهید 11519 کلمه
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عنوان انگلیسی
Determinants of price discovery in the VIX futures market
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 43, September 2017, Pages 59-73

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چکیده انگلیسی

We utilize the respective information share and common factor component weight approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX futures prices play a dominant role in the overall process of price discovery. An increase in the price difference between the VIX and VIX futures, commonly referred to as the futures basis, causes a corresponding increase in the contribution to price discovery made by VIX futures. Our empirical results also show that news announcements on macro-economic issues in the United States increase the dominant role of VIX futures in the overall process of price discovery. This dominant role remains unchanged when compared to VIX exchange-traded products and the volatility indices on non-US equity exchange-traded funds.

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