Determinants of intraday price discovery in VIX exchange traded notes

Determinants of intraday price discovery in VIX exchange traded notes

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...

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Bibliographic Details
Published in:The journal of futures markets Vol. 38; no. 5; pp. 535 - 548
Main Authors: Fernandez‐Perez, Adrian, Frijns, Bart, Gafiatullina, Ilnara, Tourani‐Rad, Alireza
Format: Journal Article
Language:English
Published: Hoboken Wiley Periodicals Inc 01-05-2018
Subjects:
Discovery
high‐frequency data
Leadership
price discovery
Securities markets
Stock exchanges
Stock market indexes
Trading
volatility ETNs
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Summary: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.
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.21907