Download or read book Market Efficiency Test in the VIX Futures Market written by Jian Zhang and published by ProQuest. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the daily settlement prices of the VIX futures to test the random walk hypothesis (RWH) and the weak form market efficiency in the VIX futures market. Both the unit root test and the uncorrelated increments test are applied. The unit root test includes the Augmented Dicky-Fuller (ADF) test and the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) test. The uncorrelated increments test includes that the serial correlation coefficient test (Ljung-Box Q test) and the Lo-MacKinlay Variance Ratio (VR) test. The Jarque-Bera test for the normality of residuals is applied for a robustness check. This paper tests the aggregated market price series as well as the price series of each individual futures contract. For the aggregated market price series, the test results suggest that the VIX futures market is efficient because there is a unit root in the aggregated market price series. For the individual VIX futures price series, there are 51 out of 54 futures meet the sufficient condition for an efficient market: the prices are found to follow a random walk either because there is a unit root existing in the price series or because the increments are not correlated.

Download or read book Test of Market Efficiency written by JinKyoung Kim and published by . This book was released on 1995 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Futures Market Efficiency written by Atcharawan Ngarmyarn and published by . This book was released on 1989 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Market Efficiency and Volatility Estimation written by Wale Dare and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a non-parametric procedure for estimating the realized spot volatility of a price process described by an Itô semimartingale with Lévy jumps. The procedure integrates threshold jump elimination technique of Mancini (2009) with a frame (Gabor) expansion of the realized trajectory of spot volatility. We show that the procedure converges in probability in L2([0; T]) for a wide class of spot volatility processes, including those with discontinuous paths. Our analysis assumes the time interval between price observations tends to zero; as a result, the intended application is for the analysis of high frequency financial data. We investigate practical tests of market efficiency that are not subject to the joint-hypothesis problem inherent in tests that require the specification of an equilibrium model of asset prices. The methodology we propose simplify the testing procedure considerably by reframing the market efficiency question into one about the existence of a local martingale measure. As a consequence, the need to directly verify the no dominance condition is completely avoided. We also investigate market efficiency in the large financial market setting with the introduction of notions of asymptotic no dominance and market efficiency that remain consistent with the small market theory. We obtain a change of numeraire characterization of asymptotic market efficiency and suggest empirical tests of inefficiency in large financial markets. We argue empirically that the U.S. treasury futures market is informational inefficient. We show that an intraday strategy based on the assumption of cointegrated treasury futures prices earns statistically significant excess return over the equally weighted portfolio of treasury futures. We also provide empirical backing for the claim that the same strategy, financed by taking a short position in the 2-Year treasury futures contract, gives rise to a statistical arbitrage.

Download or read book Is the VIX Futures Market Able to Predict the VIX Index A Test of the Expectation Hypothesis written by Marcus Nossman and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the expectation hypothesis by using the volatility index VIX and the futures written on that index. Because the VIX index is negatively correlated with the Samp;P 500 index returns, the VIX futures price should contain a negative risk premium, which we do confirm in this study. When the futures price is not adjusted with the risk premium, the expectation hypothesis is rejected at the 5 percent significance level for 20 of 21 forecast horizons. However when we adjust the futures price with the risk premium, obtained from a stochastic volatility model, the expectation hypothesis cannot be rejected. Further, we find that the risk premium adjusted futures price forecasts the direction of the VIX index well. The one day ahead forecast predicts the direction correctly in 73 percent of the times.

Download or read book Can Chartists Outperform the Market written by Salih N. Neftci and published by . This book was released on 1983 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing index futures market efficiency using price differences written by Pradeep Kumar Yadav and published by . This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability written by Y. Peter Chung and published by . This book was released on 1989 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Futures Market Efficiency the Unbiasedness Hypothesis and Variance Bounds Tests written by Antonios Antoniou and published by . This book was released on 1995 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Implied Volatility Based Trading Strategies written by and published by . This book was released on 2007 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Efficiency and the Unbiasedness Hypothesis of the Emerging Greek Futures Market written by Dimitris Kenourgios and published by . This book was released on 2005 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-20 blue chip index futures contract. The FTSE/ATHENS STOCK EXCHANGE (ASE)-20 futures market is the first organized derivatives market established in Greece and its operation rests with the Athens Derivatives Exchange (ADEX) and the Athens Derivatives Exchange Clearing House (ADECH). The growing importance of this new market for both investors and the Greek capital market motivated this empirical examination of its efficiency, even though it is an emerging market with low liquidity, compared to other European developed futures markets, but strong growth rates. The Johansen cointegration procedure used to test the market efficiency shows that the joint hypothesis of market efficiency and unbiasedness in futures prices is rejected, indicating market inefficiency. This finding is consistent to earlier but limited studies in other European emerging futures markets, implying that, despite the significant role of an organized futures/derivatives market for a capital market and an economy more general, further necessary steps have to be taken in order to contribute to its efficiency.

Download or read book Empirical Test of Market Efficiency in Trading Treasury Bill Futures written by Anna Maria Spilker and published by . This book was released on 1977 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Test of Market Efficiency Using Arch Models written by Feifei Tan and published by . This book was released on 1996 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The VIX Index and Volatility Based Global Indexes and Trading Instruments A Guide to Investment and Trading Features written by Matthew T. Moran and published by CFA Institute Research Foundation. This book was released on 2020-04-28 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.

Download or read book Trading VIX Derivatives written by Russell Rhoads and published by John Wiley & Sons. This book was released on 2011-08-09 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.

Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

Download or read book Beyond Greed and Fear written by Hersh Shefrin and published by . This book was released on 2002 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even the best Wall Street investors make mistakes. No matter how savvy or experienced, all financial practitioners eventually let bias, overconfidence, and emotion cloud their judgement and misguide their actions. Yet most financial decision-making models fail to factor in these fundamentals of human nature. In Beyond Greed and Fear, the most authoritative guide to what really influences the decision-making process, Hersh Shefrin uses the latest psychological research to help us understand the human behavior that guides stock selection, financial services, and corporate financial strategy. Shefrin argues that financial practitioners must acknowledge and understand behavioral finance--the application of psychology to financial behavior--in order to avoid many of the investment pitfalls caused by human error. Through colorful, often humorous real-world examples, Shefrin points out the common but costly mistakes that money managers, security analysts, financial planners, investment bankers, and corporate leaders make, so that readers gain valuable insights into their own financial decisions and those of their employees, asset managers, and advisors. According to Shefrin, the financial community ignores the psychology of investing at its own peril. Beyond Greed and Fear illuminates behavioral finance for today's investor. It will help practitioners to recognize--and avoid--bias and errors in their decisions, and to modify and improve their overall investment strategies.