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Trading and investing in volatility products

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journal contribution
posted on 2023-06-09, 02:26 authored by Carol AlexanderCarol Alexander, Julia Kapraun, Dimitris Korovilas
Since the banking crisis the market for volatility exchange-traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer-term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up-to-date comparison of the market and statistical characteristics of European and US exchange-traded volatility products.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Financial Markets, Institutions and Instruments

ISSN

0963-8008

Publisher

Wiley

Issue

4

Volume

24

Page range

313-347

Department affiliated with

  • Business and Management Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2016-08-08

First Open Access (FOA) Date

2017-04-13

First Compliant Deposit (FCD) Date

2016-08-08

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