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

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.
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https://hal.umontpellier.fr/hal-02061357
Contributeur : Odile Hennaut <>
Soumis le : vendredi 8 mars 2019 - 09:31:45
Dernière modification le : jeudi 6 juin 2019 - 14:42:32

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Sangram Keshari Jena, Aviral Kumar Tiwari, David Roubaud, Muhammad Shahbaz. Index futures volatility and trading activity: Measuring causality at a multiple horizon. Finance Research Letters, Elsevier, 2018, 24, pp.247-255. ⟨10.1016/j.frl.2017.09.012⟩. ⟨hal-02061357⟩

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