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Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model
Joint Authors
Wang, Susheng
Li, Guanglu
Wang, Junbo
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-18, 18 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-08-29
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Abstract EN
The results of data description using ten samples of high-frequency data to describe the intraday characteristics of the CSI 300 index futures show that there is no significant summit and fat tail phenomenon.
The Granger causality test shows that there is not only a two-way Granger causality between returns and trading volume but also an instantaneous causality relationship.
Therefore, the A-type SVAR models are identified and estimated after setting up constraints, and all the models are tested stable.
Subsequent variance decomposition results show that the residual disturbance of returns can be explained more than 99.9% by its lagged terms; the residual disturbance of trading volume explained by its lagged terms and returns is quite different, and the range of interpretation is very wide.
The impulse response results show that the market responds very quickly to new information.
When a shock is reached, the market can reach a new equilibrium point after about three observation time periods.
This shows that the market is able to digest new information quickly, and arbitrage trading becomes very difficult in this market.
American Psychological Association (APA)
Wang, Susheng& Li, Guanglu& Wang, Junbo. 2019. Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-18.
https://search.emarefa.net/detail/BIM-1197785
Modern Language Association (MLA)
Wang, Susheng…[et al.]. Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model. Mathematical Problems in Engineering No. 2019 (2019), pp.1-18.
https://search.emarefa.net/detail/BIM-1197785
American Medical Association (AMA)
Wang, Susheng& Li, Guanglu& Wang, Junbo. Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-18.
https://search.emarefa.net/detail/BIM-1197785
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1197785