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Determinants of intraday price discovery in VIX exchange traded notes

Adrian Fernandez‐Perez, Bart Frijns, Ilnara Gafiatullina and Alireza Tourani‐Rad

Journal of Futures Markets, 2018, vol. 38, issue 5, 535-548

Abstract: This study investigates the intraday price discovery of the VIX short‐term futures ETN (VXX) and inverse VIX short‐term ETN (XIV) for the period January 3, 2012 to December 31, 2015. Using Hasbrouck's (1995) Information Share and Lien and Shrestha's (2014) Generalized Information Share, we document strong time variation in the contribution to price discovery of the direct and inverse notes. We find that trading costs and market liquidity are significant determinants of price discovery. We further document that the informational leadership of the XIV increases on days when the VIX increases and on days with negative stock market returns.

Date: 2018
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