Trading and investing in volatility products

Alexander, Carol, Kapraun, Julia and Korovilas, Dimitris (2015) Trading and investing in volatility products. Journal of International Money and Finance, 24 (4). pp. 313-347. ISSN 0261-5606

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Abstract

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.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences
Depositing User: Joy Blake
Date Deposited: 08 Aug 2016 11:45
Last Modified: 25 Apr 2017 00:41
URI: http://sro.sussex.ac.uk/id/eprint/62268

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