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Journal article
VIX changes and derivative returns on FOMC meeting days
Financial Markets and Portfolio Management, Vol.26, pp.315-331
26
2012
Web of Science ID: WOS:000453453800003
Abstract
We examine the link between scheduled FOMC meetings and the VIX measure. Our results indicate that VIX declines significantly on scheduled meeting dates. Unlike prior studies suggesting that the drop in VIX is mechanical, we attribute the decline to the resolution of uncertainty regarding future interest rates provided by the meetings. We examine returns to investable positions on VIX. Though a decline in the VIX level commonly occurs on FOMC meeting dates, we find that significant returns may still be garnered from taking short-VIX positions in derivative markets, even after accounting for the bid-ask spread.
Details
- Title
- VIX changes and derivative returns on FOMC meeting days
- Publication Details
- Financial Markets and Portfolio Management, Vol.26, pp.315-331
- Resource Type
- Journal article
- Publisher
- Springer New York LLC; United States
- Series
- 26
- Copyright
- ©Swiss Society for Financial Market Research 2012
- Identifiers
- WOS:000453453800003; 99380090645506600
- Academic Unit
- Accounting and Finance; Lewis Bear Jr. College of Business
- Language
- English