Irregularities in forward-looking volatility

Mahmoud Qadan, Doron Nisani and Ron Eichel

The Quarterly Review of Economics and Finance, 2022, vol. 86, issue C, 489-501

Abstract: We investigate the behavior of 30-day forward-looking volatility derived from options on market indices, commodities and individual active stocks using a wide range of seasonal and calendar anomalies documented empirically in the finance literature. Our findings indicate the consistent and systematic absence of irregularities in the majority of the examined effects because, in general, the volatility indices remain unaffected by seasonal and calendar effects. However, we detect robust and significant weekday seasonality, within-the-month, turn-of-the-month, pre-holiday, and intra-quarter effects. For investors interested in buying or selling volatility products, our findings may be useful in timing their transactions.

Keywords: VIX; VIX futures; ETNs; Volatility products; Calendar anomalies; Seasonality (search for similar items in EconPapers)
JEL-codes: C22 C58 G12 G13 G40 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:86:y:2022:i:c:p:489-501

DOI: 10.1016/j.qref.2022.05.003

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