Causality in the VIX futures market
作者： Jinghong Shu , Jin E. Zhang
DOI: 10.1002/FUT.20506
关键词: Futures market 、 Information efficiency 、 Econometrics 、 Full sample 、 Economics 、 Volatility (finance) 、 Granger causality 、 Futures contract 、 Financial economics 、 Cointegration
摘要: This study examines the price-discovery function and information efficiency of a fast growing volatility futures market: Chicago Board Option Exchange VIX market. A linear Engle–Granger cointegration test with an error correction mechanism (ECM) shows that during full sample period, prices lead spot index, which implies market has some function. But modified Baek Brock nonlinear Granger detects bi-directional causality between prices, suggesting both react simultaneously to new information. Quarter-by-quarter investigations show that, on average, estimated parameters are not significantly different from zero, thus providing further evidence supporting in © 2011 Wiley Periodicals, Inc. Jrl Fut Mark
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