Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover

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	Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover
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
	Zhou Pu 1; Lu Fengbin 2; Wang Shouyang 2
	2014
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	27 期号:4 页码:729-742
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.
其他摘要	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.
关键词	STOCK INDEX MODEL China stock market negative volatility spillover nonlinear Granger causality test risk absorption volatility spillover
收录类别	CSCD
语种	英语
资助项目	[National Natural Science Foundation of China]
CSCD记录号	CSCD:5314363
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/55211
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.