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

George O. Aragon, Rajnish Mehra, Sunil Wahal

Research output: Contribution to journalArticle

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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