The mutual causality analysis between the stock and futures markets

DOI10.1016/J.PHYSA.2017.02.071MaRDI QIDQ1620652zbMATH OpenOpenAlexFDO

Authors Qing-Wen Lin, Can-Zhong Yao

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.02.071

zbMATH Keywords

Granger causalityinformation flowconditional Granger causalitybootstrap techniqueasymmetric ratiodirect information flow

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economics of information (91B44)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Fitting autoregressive models for prediction
• Granger causality: basic theory and application to neuroscience
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measurement of Linear Dependence and Feedback Between Multiple Time Series

Cited in

(6)

• Exploring the linear and nonlinear causality between Internet big data and stock markets
• Market-dependent causality between futures and spot
• Co-integration test of the stock price and information flow
• Stock price fluctuation prediction method based on time series analysis
• Causality test of time-varying information spillover in HS300 stock index futures-spot market -- based on DCC-GARCH-Hong method and LRSM breakpoint test
• The structural relationship between financial ratios and capital asset pricing

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