標題: Market uncertainty, expected volatility and the mispricing of S&P 500 index futures
作者: Tu, Anthony H.
Hsieh, Wen-Liang G.
Wu, Wei-Shao
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Index arbitrage;Expected volatility;Futures mispricing;VIX;Quantile regressions
公開日期: 一月-2016
摘要: An association between increased index futures mispricing and concurrent index volatility has been reported within several prior studies; in the present study, we argue that expected volatility over an arbitrage horizon also has an adverse effect on the ability and willingness of traders to engage in arbitrage, leading to greater and more persistent futures mispricing. Using the CBOE VIX and its innovation on the concurrent spot volatility as proxies for expected volatility, we present evidence of an increase in S&P 500 index futures mispricing with expected volatility. The impact of the VIX grows exponentially across the distribution of conditional mispricing levels, which suggests that the expectations of heightened future volatility become increasingly detrimental to arbitrage activities when the futures price deviations are enlarged; however, the influence of expected volatility is found to have been reduced during the global financial crisis period, a period during which concurrent volatility overwhelmingly dominated the magnitude of mispricing. (C) 2015 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jempfin.2015.10.006
http://hdl.handle.net/11536/133393
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2015.10.006
期刊: JOURNAL OF EMPIRICAL FINANCE
Volume: 35
起始頁: 78
結束頁: 98
顯示於類別:期刊論文