*Research Scholar, Department of Management Studies, Central University of Haryana, India
**Assistant Professor, Department of Management Studies, Central University of Haryana, India
Online published on 17 July, 2017.
India VIX is a volatility index based on the index option prices of NIFTY. It indicates the investor's perception of the market's volatility in the near term. Now the VIX futures can be used by the participants either to diversify their portfolio or to trade on volatility in the futures market. The relationship between the VIX and the VIX Futures is an active consideration for market participants because the investors are always inquisitive to know whether the VIX Futures Market leads the VIX Spot Market or vice versa. This study is the empirical test of the linear relation of VIX and the VIX Futures market for the period ranging from 26 February 2014 to 31 March 2016and will be useful for the investors to take trading or investment decisions. It will also be helpful for the regulatory authorities in designing the new financial instrument or to modify the existing one. According to linear Granger Causality test during the full sample period, VIX and VIX Futures have bidirectional causal relationship. This bi-directional causality between India VIX and India VIX Futures shows that both spot and the future market react simultaneously to the new information.
India VIX, Granger Causality, Volatility
