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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63800

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63800

    Title: The Informational Association between the S&P 500 Index and VIX Options Markets
    Authors: Kao, Dian-Xuan;Tsai, Wei-Che;Wang, Yaw-Huei
    Contributors: Department of Finance, National Sun Yat-sen University;Taiwan University, Taiwan
    Keywords: S&P 500;Options;VIX;Trading activity
    Date: 2013
    Issue Date: 2013-08-07 09:38:25 (UTC+8)
    Publisher: Department of Finance, National Sun Yat-sen University;Taiwan University, Taiwan;
    Abstract: We set out in this study to investigate the informational association between the S&P
    500 index and VIX options markets by examining the relationship between trading
    activity in VIX options and changes in the VIX in a high-frequency framework. As
    opposed to any lead-lag relationship, our results reveal a consistent and significant
    contemporaneous relationship and thus support the informational efficiency between
    the two options markets. The informational association is particularly strong when
    we examine the crisis period encompassing the collapse of Lehman Brothers and
    when the variables are compiled only from out-of-the-money options. When taking
    into consideration the impacts of liquidity in the VIX options market and the
    periodical patterns of the intraday time series, the conclusions drawn from our
    empirical analysis remain unchanged.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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