Trading and Investing in Volatility Products
Since the banking crisis the market for volatility exchange‐traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant ro...
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| Veröffentlicht in: | Financial markets, institutions & instruments institutions & instruments, 2015-11, Vol.24 (4), p.313-347 |
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| container_end_page | 347 |
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| container_issue | 4 |
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| container_title | Financial markets, institutions & instruments |
| container_volume | 24 |
| creator | Alexander, Carol Kapraun, Julia Korovilas, Dimitris |
| description | Since the banking crisis the market for volatility exchange‐traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer‐term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up‐to‐date comparison of the market and statistical characteristics of European and US exchange‐traded volatility products. |
| doi_str_mv | 10.1111/fmii.12032 |
| format | Article |
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| identifier | ISSN: 0963-8008 |
| ispartof | Financial markets, institutions & instruments, 2015-11, Vol.24 (4), p.313-347 |
| issn | 0963-8008 1468-0416 |
| language | eng |
| recordid | cdi_proquest_journals_1721311211 |
| source | Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | Exchange traded funds Futures market G12 G15 G23 roll yield Securities trading Studies VIX Volatility volatility ETPs volatility futures VSTOXX |
| title | Trading and Investing in Volatility Products |
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