HIGHLIGHTS
- who: Volatility and collaborators from the Bond Business School, Bond University, Gold Coast, Australia have published the research: Causality of price movements in VIX exchange-traded products and VIX futures contracts, in the Journal: (JOURNAL) of 24/02/2023
- what: The authors investigate the influence of term structure on lead-lag relations; traders operating in segmented markets may change their positions in response to expectations of volatility, as the futures curve moves from contango to backwardation . The causal relations the authors show evidence break-downs in arbitrage relations; contrary to economic theory the authors provide . . .
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