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Has the VIX index been manipulated?

Author

Listed:
  • Atanu Saha

    (EconOne)

  • Burton G. Malkiel

    (Princeton University)

  • Alex Rinaudo

    (EconOne)

Abstract

Recently, an influential academic study and many lawsuits have claimed that the VIX index has been manipulated since 2008. In this paper, we construct a regression model with explanatory variables that are exogenous to the index and examine the model prediction errors. We find that the movements in the daily levels of the VIX index are explained by market fundamentals and not by manipulation. We also specifically examine the VIX futures expiration days and demonstrate that the VIX closing values and VIX futures settlements prices on those days are consistent normal market forces and are not artificial.

Suggested Citation

  • Atanu Saha & Burton G. Malkiel & Alex Rinaudo, 2019. "Has the VIX index been manipulated?," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 1-14, February.
    • Handle: RePEc:pal:assmgt:v:20:y:2019:i:1:d:10.1057_s41260-018-00102-4
    DOI: 10.1057/s41260-018-00102-4
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    References listed on IDEAS

    as
    1. Craig Pirrong, 2004. "Detecting Manipulation in Futures Markets: The Ferruzzi Soybean Episode," American Law and Economics Review, Oxford University Press, vol. 6(1), pages 28-71.
    2. John M Griffin & Amin Shams, 2018. "Manipulation in the VIX?," The Review of Financial Studies, Society for Financial Studies, vol. 31(4), pages 1377-1417.
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    Cited by:

    1. Claudiu Vințe & Marcel Ausloos, 2023. "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," JRFM, MDPI, vol. 16(2), pages 1-24, February.
    2. Ali Hirsa & Joerg Osterrieder & Branka Hadji Misheva & Wenxin Cao & Yiwen Fu & Hanze Sun & Kin Wai Wong, 2021. "The VIX index under scrutiny of machine learning techniques and neural networks," Papers 2102.02119, arXiv.org.

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