| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24575 |
| 来源ID | Working Paper 24575 |
| Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets | |
| George O. Aragon; Rajnish Mehra; Sunil Wahal | |
| 发表日期 | 2018-05-07 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is independent time series predictability in VIX futures prices. The answer to both questions is no. Samuelson (1965) was right: VIX futures prices properly anticipate predictability in volatility, and are themselves unpredictable. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24575 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582248 |
| 推荐引用方式 GB/T 7714 | George O. Aragon,Rajnish Mehra,Sunil Wahal. Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24575.pdf（600KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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