Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover
文献类型：期刊论文
| 作者 | Zhou Pu1; Lu Fengbin2; Wang Shouyang2 |
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2014 |
| 卷号 | 27期号:4页码:729-742 |
| 关键词 | STOCK INDEX MODEL China stock market negative volatility spillover nonlinear Granger causality test risk absorption volatility spillover |
| ISSN号 | 1009-6124 |
| 其他题名 | TESTING LINEAR AND NONLINEAR GRANGER CAUSALITY IN CSI300 FUTURES AND SPOT MARKETS BASED ON NEW CONCEPTS OF NONLINEAR POSITIVE/NEGATIVE SPILLOVER |
| 英文摘要 | Hiemstra and Jones (1994) argued that a significant negative value of their nonlinear Granger causality test (H-J test) means there is a confounding effect in the prediction. However, from the theoretical analysis and Monte Carlo simulations, the authors find that H-J test is significantly negative under the circumstance of negative volatility spillover. Furthermore, the authors put forward the conceptions of positive/negative nonlinear spillover, and apply H-J test to examine positive/negative nonlinear spillover effect. The empirical study on China stock futures and spot markets shows that: 1) There is significant positive nonlinear spillover from futures to spot market; 2) There is significant negative nonlinear spillover from spot to futures market. The authors argue that there is "risk absorption" mechanism in information spillover from the spot market to the futures market, which is due to the temporal transfer of speculative trading from the analysis. |
| 资助项目 | [National Natural Science Foundation of China] |
| 语种 | 英语 |
| CSCD记录号 | CSCD:5314363 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/55210]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 作者单位 | 1.Bank China Head Off Beijing, Risk Management Unit, Beijing 100032, Peoples R China 2.中国科学院数学与系统科学研究院 |
| 推荐引用方式 GB/T 7714 | Zhou Pu,Lu Fengbin,Wang Shouyang. Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2014,27(4):729-742. |
| APA | Zhou Pu,Lu Fengbin,&Wang Shouyang.(2014).Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,27(4),729-742. |
| MLA | Zhou Pu,et al."Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 27.4(2014):729-742. |
入库方式： OAI收割
来源：数学与系统科学研究院
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