VIX衍生性金融商品的日內交易活動分析

Abstract

We investigate the relationship between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. Our results reveal significant relationships between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index, and the net signed trading variables of VIX futures is also found to be a significant predictor of future changes in the VIX index, providing support for the informational role of VIX futures. Moreover, our results provide evidence of trading activity in VIX options likely caused by temporary liquidity shocks rather than the likelihood of informed trading.