The mutual causality analysis between the stock and futures markets

Yao, Can-Zhong; Lin, Qing-Wen

doi:10.1016/j.physa.2017.02.071

Cited by 5 publications

(4 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…We used the below typical panel vector error‐correction model (PVECM) to ascertain the causal associations between economic growth, financial development and institutional quality. Thus, we estimated a set of regressions, represented by the below set of equations (presented in a matrix structure):

\begin{matrix} ([], \begin{matrix} ΔPE G_{it} \\ ΔFI N_{it} \\ ΔIN Q_{it} \end{matrix}) goodbreak= ([], \begin{matrix} θ_{1 j} \\ θ_{2 j} \\ θ_{3 j} \end{matrix}) \\ goodbreak+ \sum_{k = 1}^{q} ([], \begin{matrix} δ_{11 italicik} ((), L) δ_{12 italicik} ((), L) δ_{13 italicik} ((), L) \\ δ_{21 italicik} ((), L) δ_{22 italicik} ((), L) δ_{23 italicik} ((), L) \\ δ_{31 italicik} ((), L) δ_{32 italicik} ((), L) δ_{33 italicik} ((), L) \end{matrix}) ([], \begin{matrix} normalΔ PE G_{italicit - k} \\ ΔFI N_{italicit - k} \\ ΔIN Q_{italicit - k} \end{matrix}) \\ goodbreak+ ([], \begin{matrix} λ_{1 i} EC T_{italicit - 1} \\ λ_{2 i} EC T_{italicit - 1} \\ λ_{3 i} EC T_{italicit - 1} \end{matrix}) goodbreak+ ([], \begin{matrix} ψ_{1 italicit} \\ ψ_{2 italicit} \\ ψ_{3 italicit} \end{matrix}) \end{matrix}

where ψ is the random error term, which represents mutually independent and identically distributed data (IID) with a zero mean and unique variance (see Yao & Lin, 2017). Note that the three vari...…”

Section: Methodsmentioning

confidence: 99%

Institutional quality, financial development and sustainable economic growth among lower income countries

Pradhan

Nair

Arvin

et al. 2023

Natural Resources Forum

View full text Add to dashboard Cite

This article postulates strong endogenous relationships in lower income countries between institutional quality, financial development and sustained economic growth. These associations were investigated using the vector‐error correction model (VECM) and Granger causality method for a sample of 79 countries from 2005 to 2022. The findings show that (1) these variables reinforce each other in the short run. (2) In the long run, both institutional quality and financial development can fuel economic growth. (3) The positive effect of institutional quality on economic growth is greater than that of financial development. Policy implications of these findings are that careful attention should be paid to co‐development policies to enhance the institutional quality and the financial system in these economies. Policies should also consider economic growth strategies to enable sustainable economic growth rates.

show abstract

\begin{matrix} ([], \begin{matrix} ΔPE G_{it} \\ ΔFI N_{it} \\ ΔIN Q_{it} \end{matrix}) goodbreak= ([], \begin{matrix} θ_{1 j} \\ θ_{2 j} \\ θ_{3 j} \end{matrix}) \\ goodbreak+ \sum_{k = 1}^{q} ([], \begin{matrix} δ_{11 italicik} ((), L) δ_{12 italicik} ((), L) δ_{13 italicik} ((), L) \\ δ_{21 italicik} ((), L) δ_{22 italicik} ((), L) δ_{23 italicik} ((), L) \\ δ_{31 italicik} ((), L) δ_{32 italicik} ((), L) δ_{33 italicik} ((), L) \end{matrix}) ([], \begin{matrix} normalΔ PE G_{italicit - k} \\ ΔFI N_{italicit - k} \\ ΔIN Q_{italicit - k} \end{matrix}) \\ goodbreak+ ([], \begin{matrix} λ_{1 i} EC T_{italicit - 1} \\ λ_{2 i} EC T_{italicit - 1} \\ λ_{3 i} EC T_{italicit - 1} \end{matrix}) goodbreak+ ([], \begin{matrix} ψ_{1 italicit} \\ ψ_{2 italicit} \\ ψ_{3 italicit} \end{matrix}) \end{matrix}

Section: Methodsmentioning

confidence: 99%

Institutional quality, financial development and sustainable economic growth among lower income countries

Pradhan

Nair

Arvin

et al. 2023

Natural Resources Forum

View full text Add to dashboard Cite

show abstract

“…According to the study, new information is firstly priced in the futures markets and then spread to the spot markets. Yao and Lin (2017) investigated the relationship between spot and futures stock markets using granger causality and conditional granger tests in China. According to the study results, the information flow from the futures markets to spot markets is higher than than flows in the opposite direction.…”

Section: Literature Reviewmentioning

confidence: 99%

Relationship of Causality Between Spot And Futures Markets of Borsa Istanbul Index 30 and Dow Jones Industrial Average

Özdemir¹,

Özen²,

Grima³

2019

Preprint

View full text Add to dashboard Cite

Futures markets are mainly used as a tool for price discovery and for risk management on the spot markets and enable diversification for international portfolio investments. With this study we aim (1) to investigate the causality relationship between futures markets and spot market and (2) to examine the causality relationship between futures markets and spot markets in different countries. We are interested in both the futures markets - spot market relations and the interactions between the markets at international level. For variables we used the the BIST30 spot index and BIST30 futures contract representing the Borsa Istanbul market and the Dow-Jones 30 index and Dow-Jones 30 futures contract, which are the most important indices representing the US markets. Daily closing price data for the period between 2nd January, 2009 and 18th June, 2018 were analyzed using correlation, unit root test, causality test and regression equations. The results of the study show that the futures markets continue their price discovery role for both the spot markets and futures markets and are influential on other futures and spot markets at international level. These findings are important for investors wanting to invest in Turkey and in similarly considered emerging market economies. It will help investors take informed decisions by providing them with a more efficient price estimations utilizing the futures markets.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Causality between Spot and Future Markets of the Borsa Istanbul Index and the Dow Jones Industrial Average*

Özdemir,

Özen,

Grima

et al. 2019

ijfirm

View full text Add to dashboard Cite

Purpose: Futures markets are mainly used as a tool for price discovery and for risk management on the spot markets and to enable diversification for international portfolio investments. With this study we aim (1) to investigate and confirm the causality relationship between futures markets and the spot markets and (2) to examine and confirm the causality relationship between futures markets and the spot markets in different countries. Design/Methodology/Approach: We used the BIST30 spot index and BIST30 futures contract representing the Borsa Istanbul market and the Dow-Jones 30 index and Dow-Jones 30 futures contract, which are the most used indices representing the US markets. Daily closing price data for the period between 2nd January, 2009 and 18th June, 2018 were analyzed using correlation, unit root test, causality test and regression equations. Findings:The results of the study confirms that the futures markets continue their price discovery role for both the spot markets and futures markets and are influential on other futures and spot markets at international level. Practical Implications/Originality/Value: These findings are important for investors in Turkey and emerging market economies since they confirm and cooroborate previous findings by other authors. Moreover, these findings will help investors take informed decisions by providing them with more knowledge in the object of this research.

show abstract

The mutual causality analysis between the stock and futures markets

Cited by 5 publications

References 27 publications

Institutional quality, financial development and sustainable economic growth among lower income countries

Institutional quality, financial development and sustainable economic growth among lower income countries

Relationship of Causality Between Spot And Futures Markets of Borsa Istanbul Index 30 and Dow Jones Industrial Average

Causality between Spot and Future Markets of the Borsa Istanbul Index and the Dow Jones Industrial Average*

Contact Info

Product

Resources

About