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Trading and investing in volatility products
journal contribution
posted on 2023-06-09, 02:26 authored by Carol AlexanderCarol Alexander, Julia Kapraun, Dimitris KorovilasSince 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 InstrumentsISSN
0963-8008Publisher
WileyExternal DOI
Issue
4Volume
24Page range
313-347Department affiliated with
- Business and Management Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2016-08-08First Open Access (FOA) Date
2017-04-13First Compliant Deposit (FCD) Date
2016-08-08Usage metrics
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