Do properly anticipated prices fluctuate randomly? Evidence from VIX futures markets

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish (US)
Pages (from-to)144-159
Number of pages16
JournalJournal of Portfolio Management
Volume46
Issue number7
DOIs
StatePublished - Jul 2020

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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