Index futures volatility and trading activity: Measuring causality at a multiple horizon

Sangram Keshari Jena, Aviral Tiwari, David Roubaud () and Muhammad Shahbaz
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Sangram Keshari Jena: Université d'Hyderabad

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Abstract: Copeland (1976) and Shalen (1993) state that the causal relationship between trading activity variables, such as volume, open interest and volatility, the three most important factors for traders and portfolio managers, extends beyond one day. However, the literature on causality thus far concerns a one-day horizon. In this study, we provide a more powerful causality test by measuring the strength of the causal relationship over a multiple horizon. The robustness of the results is analysed by splitting the sample into two period pre and post 2008 crisis. Our findings may impact the designing of trading strategies.

Keywords: Trading activity; Multiple-horizon; Granger causality; Open interest (search for similar items in EconPapers)
Date: 2018-03
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Citations: View citations in EconPapers (6)

Published in Finance Research Letters, 2018, 24, pp.247-255. ⟨10.1016/j.frl.2017.09.012⟩

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Journal Article: Index futures volatility and trading activity: Measuring causality at a multiple horizon (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02061357

DOI: 10.1016/j.frl.2017.09.012

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