The lead-lag relation between VIX futures and SPX futures

被引：2
|
作者：
Bangsgaard, Christine [1 ]
Kokholm, Thomas [1 ,2 ]
机构：
[1] Aarhus Univ, Dept Econ & Business Econ, Aarhus BSS, Aarhus, Denmark
[2] Danish Finance Inst, Copenhagen, Denmark
来源：
JOURNAL OF FINANCIAL MARKETS | 2024年 / 67卷
关键词：
Lead-lag relation; High-frequency data; Cross-correlation; Price discovery; VIX futures hedging; Cross-market activity; PRICE DISCOVERY; STOCK; VOLATILITY; INFORMATION; MARKETS; BOND; OPTIONS; DERIVATIVES; AUCTIONS; RETURNS;
D O I：
10.1016/j.finmar.2023.100851
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyze the lead-lag relation between VIX futures and SPX futures. The two futures markets are weakly connected when market volatility is low. By contrast, when volatility is high, their prices are highly negatively correlated, with VIX futures leading SPX futures. However, the tightness of the lead-lag relation prevents the formation of profitable trading strategies in a setup that includes transaction costs. An analysis of the time variation in the lead-lag relation finds that an improvement in the relative liquidity of one market strengthens the lead of that market. Moreover, the hedging activities of market makers influence the lead-lag relation.
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页数：26
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