Volatility--volume causality across single stock spot--futures markets in India

Anshul Jain (), Pratap Chandra Biswal and Sajal Ghosh ()

Applied Economics, 2016, vol. 48, issue 34, 3228-3243

Abstract: This study examines the causal relationships between volatility and volume across spot and futures market for the 50 constituent stocks of the CNX NIFTY Index. Granger non-causality tests implemented using vector autoregression (VAR) and asymmetric VAR models indicate the presence of significant causal relations from both the spot and futures volume to both the spot and futures volatility. Bidirectional causal relationships between spot and futures volume were observed for almost all stocks but few stocks displayed a similar relationship between volatilities. The results highlight the importance of volume in absorbing information and its behaviour as the conduit of information.

Date: 2016
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DOI: 10.1080/00036846.2015.1136401

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