The mutual causality analysis between the stock and futures markets

Can-Zhong Yao and Qing-Wen Lin

Physica A: Statistical Mechanics and its Applications, 2017, vol. 478, issue C, 188-204

Abstract: In this paper we employ the conditional Granger causality model to estimate the information flow, and find that the improved model outperforms the Granger causality model in revealing the asymmetric correlation between stocks and futures in the Chinese market.

Keywords: Granger causality; Conditional Granger causality; Information flow; Direct information flow; Asymmetric ratio; Bootstrap technique (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:478:y:2017:i:c:p:188-204

DOI: 10.1016/j.physa.2017.02.071

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