Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective

dc.creatorLópez, Raquel
dc.creatorEsparcia, Carlos (1)
dc.date.accessioned2021-04-21T15:15:07Z
dc.date.accessioned2023-03-07T19:30:44Z
dc.date.available2021-04-21T15:15:07Z
dc.date.available2023-03-07T19:30:44Z
dc.date.created2021-04-21T15:15:07Z
dc.identifier1873-8036
dc.identifierhttps://reunir.unir.net/handle/123456789/11240
dc.identifierhttps://doi.org/10.1016/j.iref.2020.08.019
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5905563
dc.description.abstractThis study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility indices on days with important macroeconomic releases, which we document over the period 2008-2018. Our trading strategies involve variance swaps, VIX futures, and VSTOXX mini futures contracts. The empirical evidence indicates that our trading strategies yield significantly positive mean returns on major announcement days. This finding suggests that variance swap and volatility futures markets are not efficient with respect to the release of macroeconomic information.
dc.languageeng
dc.publisherInternational Review of Economics & Finance
dc.relation;vol. 71
dc.relationhttps://www.sciencedirect.com/science/article/abs/pii/S1059056020301994?via%3Dihub
dc.rightsrestrictedAccess
dc.subjectnews announcements
dc.subjectperformance measures
dc.subjectvariance swap
dc.subjectvolatility index
dc.subjectvolatility futures
dc.subjectJCR
dc.subjectScopus
dc.titleAnalysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective
dc.typeArticulo Revista Indexada


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