Investors' Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns

被引：3

作者：

Lee, Hsiu-Chuan ^{[1
]}

Liao, Tzu-Hsiang ^{[1
]}

Tung, Pao-Ying ^{[1
]}

机构：

[1] Ming Chuan Univ, Dept Finance, 250,Zhong Shan N Rd Sec 5, Taipei, Taiwan

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 09期

关键词：

VOLATILITY; RISK; PROBABILITY; INFORMATION;

D O I：

10.1002/fut.21838

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index futures returns using quantile regression. The results show that the impact varies with return distributions and that the effect is stronger under badmarket conditions than under good market conditions. The evidence also shows that the VIX futures basis provides incremental information for the purpose of risk management. Overall, our evidence supports the conclusion that the VIX futures basis and investors' heterogeneity in beliefs are important factors that affect S&P 500 index futures returns. (C) 2017 Wiley Periodicals, Inc.

引用

页码：939 / 960

页数：22

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