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Time-dependent lead-lag relationships between the VIX and VIX futures markets

Yan-Hong Yang and Ying-Hui Shao

The North American Journal of Economics and Finance, 2020, vol. 53, issue C

Abstract: We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets for the period March 26, 2004 to June 19, 2017. 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.

Keywords: VIX; VIX futures; Lead-lag relationship; Symmetric thermal optimal path (search for similar items in EconPapers)
JEL-codes: C14 G13 G14 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300930

DOI: 10.1016/j.najef.2020.101196

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