Lead-lag effects between different financial products are a widely discussed topic in the finance literature. This thesis investigates the intraday price discovery of volatility-related products using high-frequency trade data. In this study, we focus on short-term volatility exchange-traded products that are related to the CBOE volatility index (VIX). Therefore, we follow two different approaches. First, we apply a cross-correlation approach. For this purpose, we make use of a correlation estimator that was introduced by Hayashi and Yoshida (2005). This estimation method was developed for measuring the correlation of asynchronously observed processes. Second, we employ two methods based on vector autoregressive models to examine possible front-running effects. Besides the well-known Granger causality test, we conduct an impulse response analysis. Finally, we establish trading strategies based on the correlation approach. Overall, we conclude that we cannot observe evidence for market anomalies for these products.     «

Lead-lag effects between different financial products are a widely discussed topic in the finance literature. This thesis investigates the intraday price discovery of volatility-related products using high-frequency trade data. In this study, we focus on short-term volatility exchange-traded products that are related to the CBOE volatility index (VIX). Therefore, we follow two different approaches. First, we apply a cross-correlation approach. For this purpose, we make use of a correlation esti...     »