Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures

We examine the impact of the introduction of VIX exchange‐traded products (ETPs) on the information content and pricing efficiency of VIX futures. We document that trades in VIX futures have become less informative and that pricing errors exhibit more persistence after the introduction of VIX ETPs....

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Veröffentlicht in:	The Financial review (Buffalo, N.Y.) N.Y.), 2019-08, Vol.54 (3), p.477-500
Hauptverfasser:	Fernandez‐Perez, Adrian, Frijns, Bart, Tourani‐Rad, Alireza, Webb, Robert I.
Format:	Artikel
Sprache:	eng
Schlagworte:	C22 Futures G13 market microstructure price pressure Stock market indexes VIX ETPs VIX futures
Online-Zugang:	Volltext
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