Table 1 Multivariate analysis of...

Table 1

Multivariate analysis of long-run granger causality

Panel A – VXX, TVIX and XIV ETNs with SPVXSTER
	Full sample			3:45–4:15 p.m.
Sign of coefficient	−1	0	1	−1	0	1
Ln(VXX) → Ln(SPVXSTR)	11.7	75.1	22.1	17.6	63.6	27.7
Ln(VXX) → Ln(TVIX)	13.7	42.7	52.5	27.6	38.2	43.2
Ln(VXX) → Ln(XIV)	60.0	43.2	5.7	54.6	33.2	21.1
Ln(TVIX) → Ln(SPVXSTR)	16.0	78.9	14.0	23.5	65.9	19.5
Ln(TVIX) → Ln(VXX)	12.9	57.9	38.0	17.6	63.2	28.0
Ln(TVIX) → Ln(XIV)	25.6	53.8	29.5	26.0	63.9	19.0
Ln(XIV) → Ln(SPVXSTR)	17.9	76.2	14.8	34.6	49.8	24.5
Ln(XIV) → Ln(VXX)	48.8	54.1	6.0	48.2	46.0	14.7
Ln(XIV) → Ln(TVIX)	30.8	47.3	30.8	32.0	49.8	27.2
Ln(SPVXSTR) → Ln(VXX)	11.8	73.1	23.9	23.1	25.0	60.9
Ln(SPVXSTR) → Ln(TVIX)	22.5	65.9	20.5	45.6	24.4	38.9
Ln(SPVXSTR) → Ln(XIV)	19.2	69.6	20.4	47.6	24.0	37.5
Elasticity Full Sample: TVIX = 0.087, VXX = 0.57 and XIV = −0.22 3:45–4:15 p.m.: TVIX = 0.03, VXX = 0.17 and XIV = −0.32

Panel A – VXX, TVIX and XIV ETNs with SPVXSTER
	Full sample			3:45–4:15 p.m.
Sign of coefficient	−1	0	1	−1	0	1
Ln(VXX) → Ln(SPVXSTR)	11.7	75.1	22.1	17.6	63.6	27.7
Ln(VXX) → Ln(TVIX)	13.7	42.7	52.5	27.6	38.2	43.2
Ln(VXX) → Ln(XIV)	60.0	43.2	5.7	54.6	33.2	21.1
Ln(TVIX) → Ln(SPVXSTR)	16.0	78.9	14.0	23.5	65.9	19.5
Ln(TVIX) → Ln(VXX)	12.9	57.9	38.0	17.6	63.2	28.0
Ln(TVIX) → Ln(XIV)	25.6	53.8	29.5	26.0	63.9	19.0
Ln(XIV) → Ln(SPVXSTR)	17.9	76.2	14.8	34.6	49.8	24.5
Ln(XIV) → Ln(VXX)	48.8	54.1	6.0	48.2	46.0	14.7
Ln(XIV) → Ln(TVIX)	30.8	47.3	30.8	32.0	49.8	27.2
Ln(SPVXSTR) → Ln(VXX)	11.8	73.1	23.9	23.1	25.0	60.9
Ln(SPVXSTR) → Ln(TVIX)	22.5	65.9	20.5	45.6	24.4	38.9
Ln(SPVXSTR) → Ln(XIV)	19.2	69.6	20.4	47.6	24.0	37.5
ElasticityFull Sample: TVIX = 0.087, VXX = 0.57 and XIV = −0.223:45–4:15 p.m.: TVIX = 0.03, VXX = 0.17 and XIV = −0.32

Panel B – VIXY, UVXY and SVXY ETFs with SPVXSTER
Sample	Full sample			3:45–4:15 p.m.
Sign of coefficient	−1	0	1	−1	0	1
ln(SVXY) → ln(SPVXSTER)	24.7	50.9	24.4	30.8	46.2	23.0
ln(UVXY) → ln(SPVXSTER)	9.9	38.2	51.9	16.2	39.3	44.4
ln(VIXY) → ln(SPVXSTER)	21.5	60.6	17.9	21.1	49.2	29.7
ln(SPVXSTER) → ln(SVXY)	17.8	69.4	12.8	28.9	51.0	20.1
ln(UVXY) → ln(SVXY)	27.6	66.4	6.0	43.8	45.7	10.6
ln(VIXY) → ln(SVXY)	11.0	79.0	10.0	24.4	52.8	22.8
ln(SPVXSTER) → ln(UVXY)	4.9	64.4	30.7	10.3	53.6	36.1
ln(SVXY) → ln(UVXY)	23.9	70.9	5.2	33.5	54.2	12.3
ln(VIXY) → ln(UVXY)	6.3	78.9	14.8	15.4	59.6	25.0
ln(SPVXSTER-) → ln(VIXY)	10.9	75.9	13.2	18.7	56.6	24.7
ln(SVXY) → ln(VIXY)	10.4	79.2	10.4	25.0	55.1	19.8
ln(UVXY) → ln(VIXY)	5.5	77.2	17.6	12.1	53.0	35.2
Elasticity Full Sample: UVXY = 0.25, VIXY = 0.28 and SVXY = −0.19 3:45–4:15 p.m.: UVXY = 0.12, VIXY = 0.16 and SVXY = −0.20

Panel B – VIXY, UVXY and SVXY ETFs with SPVXSTER
Sample	Full sample			3:45–4:15 p.m.
Sign of coefficient	−1	0	1	−1	0	1
ln(SVXY) → ln(SPVXSTER)	24.7	50.9	24.4	30.8	46.2	23.0
ln(UVXY) → ln(SPVXSTER)	9.9	38.2	51.9	16.2	39.3	44.4
ln(VIXY) → ln(SPVXSTER)	21.5	60.6	17.9	21.1	49.2	29.7
ln(SPVXSTER) → ln(SVXY)	17.8	69.4	12.8	28.9	51.0	20.1
ln(UVXY) → ln(SVXY)	27.6	66.4	6.0	43.8	45.7	10.6
ln(VIXY) → ln(SVXY)	11.0	79.0	10.0	24.4	52.8	22.8
ln(SPVXSTER) → ln(UVXY)	4.9	64.4	30.7	10.3	53.6	36.1
ln(SVXY) → ln(UVXY)	23.9	70.9	5.2	33.5	54.2	12.3
ln(VIXY) → ln(UVXY)	6.3	78.9	14.8	15.4	59.6	25.0
ln(SPVXSTER-) → ln(VIXY)	10.9	75.9	13.2	18.7	56.6	24.7
ln(SVXY) → ln(VIXY)	10.4	79.2	10.4	25.0	55.1	19.8
ln(UVXY) → ln(VIXY)	5.5	77.2	17.6	12.1	53.0	35.2
ElasticityFull Sample: UVXY = 0.25, VIXY = 0.28 and SVXY = −0.193:45–4:15 p.m.: UVXY = 0.12, VIXY = 0.16 and SVXY = −0.20

Note(s): Panels A and B this table show the percentage of total number of days with significantly positive and negative coefficients for each pair using ETNs and ETFs, respectively. The model in Panel A is fitted in each day (n = 1,784) during which all ETNs traded concurrently, 29 November 2010 through 15 February 2018. The model in Panel B is fitted each day (n = 1,638) during which all ETFs traded concurrently, 3 October 2011 through 15 February 2018. The notation −1 denotes the presence of negative Granger causality, 0 denotes no Granger causality and 1 denotes positive Granger causality

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