Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns

Hsiu‐Chuan Lee, Tzu‐Hsiang Liao and Pao‐Ying Tung

Journal of Futures Markets, 2017, vol. 37, issue 9, 939-960

Abstract: This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index futures returns using quantile regression. The results show that the impact varies with return distributions and that the effect is stronger under bad market conditions than under good market conditions. The evidence also shows that the VIX futures basis provides incremental information for the purpose of risk management. Overall, our evidence supports the conclusion that the VIX futures basis and investors’ heterogeneity in beliefs are important factors that affect S&P 500 index futures returns. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:939–960, 2017

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:37:y:2017:i:9:p:939-960

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().