The lead–lag relation between VIX futures and SPX futures
研究了VIX期货与SPX期货之间的领先滞后关系，发现低波动时两市场弱相关，高波动时高度负相关且VIX期货领先，但交易成本使套利策略不可行，市场流动性改善会增强领先性，做市商对冲活动也影响该关系。
We analyze the lead–lag relation between VIX futures and SPX futures. The two futures markets are weakly connected when market volatility is low. By contrast, when volatility is high, their prices are highly negatively correlated, with VIX futures leading SPX futures. However, the tightness of the lead–lag relation prevents the formation of profitable trading strategies in a setup that includes transaction costs. An analysis of the time variation in the lead–lag relation finds that an improvement in the relative liquidity of one market strengthens the lead of that market. Moreover, the hedging activities of market makers influence the lead–lag relation.