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Abstract
An anomaly may exist in the U.S. stock market in which the VIX trades lower during the first 17 to 22 days of December. This is potentially due to a Christmas effect, in which trading activity slows before Christmas. The authors test this hypothesis using two approaches, one from the spot VIX and the other from the VIX futures term structure. In addition, the authors test the holiday explanation, in which the VIX declines prior to holidays because trading activity declines.
TOPICS: Analysis of individual factors/risk premia, mutual funds/passive investing/indexing, futures and forward contracts, performance measurement
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