The market impact of predictable flows: Evidence from leveraged VIX products
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DOI: 10.1016/j.jbankfin.2021.106280
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More about this item
Keywords
Strategic trading; Trading costs; Sunshine trading; Closing prices; Leveraged products; ETFs; VIX;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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