Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

被引：2

作者：

Aragon, George O. ^{[1
]}

Mehra, Rajnish ^{[2
,3
]}

Wahal, Sunil ^{[1
,4
]}

机构：

[1] Arizona State Univ, Finance, Tempe, AZ 85287 USA

[2] Arizona State Univ, Finance & Econ, Tempe, AZ 85287 USA

[3] NBER, Cambridge, MA 02138 USA

[4] Arizona State Univ, Ctr Investment Engn, Tempe, AZ USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2020年 / 46卷 / 07期

关键词：

HEDGING PRESSURE; RETURNS; OPTIONS;

D O I：

10.3905/jpm.2020.1.158

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. The authors examine (1) whether predictability in the VIX index carries over to the futures market and (2) whether there is independent time-series predictability in VIX futures prices. The answer to both questions is no. Samuelson was right: VIX futures prices properly anticipate predictability in volatility and are themselves unpredictable.

引用

页码：144 / 159

页数：16

共 36 条

[1] Volatility Exchange-Traded Notes: Curse or Cure? [J].