© 2016 American Physical Society. We investigate finite-volume effects in the hadronic vacuum polarization, with an eye toward the corresponding systematic error in the muon anomalous magnetic moment. We consider both recent lattice data as well as lowest-order, finite-volume chiral perturbation theory, in order to get a quantitative understanding. Even though leading-order chiral perturbation theory does not provide a good description of the hadronic vacuum polarization, it turns out that it gives a good representation of finite-volume effects. We find that finite-volume effects cannot be ignored when the aim is a few percent level accuracy for the leading-order hadronic contribution to the muon anomalous magnetic moment, even when using ensembles with mπL-4 and mπ∼200 MeV.