Time-dependent lead-lag relationships between the VIX and VIX futures markets
arXiv:1910.13729 · doi:10.1016/j.najef.2020.101196
Abstract
We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets. We document that the VIX dominates the VIX futures more in the first few years, especially before the introduction of VIX options. We further observe that the TOPS paths show an alternate lead-lag relationship instead of a dominance between the VIX and VIX futures in most of the time periods. Meanwhile, we find that the VIX futures have been increasingly more important in the price discovery since the launch of several VIX ETPs.
arXiv comment8 pages including 4 figures
References in corpus (5)
- Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method
- Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
- The US stock market leads the Federal funds rate and Treasury bond yields
- Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates
- Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies