Intraday momentum in the VIX futures market

被引:2
|
作者
Huang, Hong-Gia [1 ]
Tsai, Wei-Che [2 ,3 ]
Weng, Pei-Shih [2 ]
Yang, J. Jimmy [4 ]
机构
[1] Tunghai Univ, Dept Business Adm, Taichung, Taiwan
[2] Natl Sun Yat Sen Univ, Dept Finance, Kaohsiung, Taiwan
[3] Natl Chengchi Univ, Risk & Insurance Res Ctr, New Taipei, Taiwan
[4] Oregon State Univ, Coll Business, Sch Accounting Finance & Informat Syst, Corvallis, OR USA
关键词
Intraday Momentum; VIX Futures; Hedging demand; Net gamma exposure; IMPLIED VOLATILITY; RETURN PREDICTABILITY; UNCERTAINTY; LIQUIDITY; OPTIONS; DEMAND; SHARPE;
D O I
10.1016/j.jbankfin.2022.106746
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study examines intraday momentum in the unexplored VIX futures market and verifies its existence through various empirical tests. The intraday momentum of VIX futures appears to be robust across contracts with different expirations, intraday returns with different time intervals, different trading sessions, and multiple sub-periods. We propose that the hedging demand of VIX option market makers may contribute to the intraday momentum. Our empirical evidence shows that intraday momentum persists only when the net gamma exposure of VIX options is negative and the effect weakens when European investors are away from the market, supporting our proposed explanation. Strikingly, we also find that trading strategies based on intraday momentum can generate an average annualized return of up to nearly 18%. (c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页数:16
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