Journal of Empirical Finance · VOLUME 43 · September 2017

波动率指数期货市场中价格发现的决定因素

作者：Yu-Lun Chen (Department of Finance, Chung Yuan Christian University), Wei-Che Tsai (Department of Finance, National Sun Yat-sen University)

摘要：本文分别使用了Hasbrouck (1995)以及Gonzalo and Granger (1995)提出的信息份额法和常用因子成分权重法来检验波动率指数及波动率指数期货的价格发现作用哪个更强，结果表明波动率指数期货价格在价格发现的过程中起到了决定性的作用。波动率指数和波动率指数期货价差（即期货基差）的增大导致波动率指数期货对价格发现做出相应更大的贡献。本文的实证结果也表明美国宏观经济问题的新闻发布使波动率指数期货在价格发现过程中占更加主导的地位，并且这种主导地位在与交易所交易的波动率相关产品和非美国股权ETF的波动率指数相比时依然没有发生变化。

关键词：价格发现、波动率指数、波动率指数期货、期货基差、信息份额

Determinants of price discovery in the VIX futures market

Yu-Lun Chen (Department of Finance, Chung Yuan Christian University), Wei-Che Tsai (Department of Finance, National Sun Yat-sen University)

ABSTRACT

We utilize the respective information share and common factor component weight approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX futures prices play a dominant role in the overall process of price discovery. An increase in the price difference between the VIX and VIX futures, commonly referred to as the futures basis, causes a corresponding increase in the contribution to price discovery made by VIX futures. Our empirical results also show that news announcements on macro-economic issues in the United States increase the dominant role of VIX futures in the overall process of price discovery. This dominant role remains unchanged when compared to VIX exchange-traded products and the volatility indices on non-US equity exchange-traded funds.

Keywords: Price discovery; VIX; VIX futures; Futures basis; Information shares

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300518#!

翻译：殷曼琳