This study uses the modified information share (MIS) approach of Lien and Shrestha (2009) to measure relative price discovery ability between VIX futures and VIX ETPs (VXX and VIXY) during 2012 to 2016. The empirical results of VECM model indicate that there are bi-directional feedbacks between VIX futures and VIX ETPs. In addition, the MIS shows that the VIX ETPs dominates in price discovery process for most of the time during research period; however, the regression analysis exhibits that the relative price discovery ability of VIX futures significantly increases when VIX and VVIX raise. These results imply that the information of market risk mainly occurs in VIX futures market, and are consistent with market-wide information hypothesis and liquidity hypothesis.
