Abstract
This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the individual VIX futures price series, 51 of 54 futures contracts meet the sufficient condition for an efficient market: the prices are found to follow a random walk either because there is a unit root or because the increments are not correlated. Overall, the market for VIX futures has been efficient since the first day of trading.
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