The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures

This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that v...
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Autor*in:	Zhihong Jian [verfasserIn] Pingjun Deng [verfasserIn] Kaiyuan Luo [verfasserIn] Zhican Zhu [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2018

Übergeordnetes Werk:	In: Journal of Management Science and Engineering - KeAi Communications Co., Ltd., 2020, 3(2018), 1, Seite 16-38
Übergeordnetes Werk:	volume:3 ; year:2018 ; number:1 ; pages:16-38

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc

DOI / URN:	10.3724/SP.J.1383.301002

Katalog-ID:	DOAJ041218442

Internformat


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520			\|a This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality
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spelling	10.3724/SP.J.1383.301002 doi (DE-627)DOAJ041218442 (DE-599)DOAJd53af6dd63974ed3b95df7438dea1fd5 DE-627 ger DE-627 rakwb eng T55.4-60.8 Zhihong Jian verfasserin aut The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality Industrial engineering. Management engineering Pingjun Deng verfasserin aut Kaiyuan Luo verfasserin aut Zhican Zhu verfasserin aut In Journal of Management Science and Engineering KeAi Communications Co., Ltd., 2020 3(2018), 1, Seite 16-38 (DE-627)1665781963 (DE-600)2972364-4 25895532 nnns volume:3 year:2018 number:1 pages:16-38 https://doi.org/10.3724/SP.J.1383.301002 kostenfrei https://doaj.org/article/d53af6dd63974ed3b95df7438dea1fd5 kostenfrei http://www.sciencedirect.com/science/article/pii/S2096232019300435 kostenfrei https://doaj.org/toc/2096-2320 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 3 2018 1 16-38
allfields_unstemmed	10.3724/SP.J.1383.301002 doi (DE-627)DOAJ041218442 (DE-599)DOAJd53af6dd63974ed3b95df7438dea1fd5 DE-627 ger DE-627 rakwb eng T55.4-60.8 Zhihong Jian verfasserin aut The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality Industrial engineering. Management engineering Pingjun Deng verfasserin aut Kaiyuan Luo verfasserin aut Zhican Zhu verfasserin aut In Journal of Management Science and Engineering KeAi Communications Co., Ltd., 2020 3(2018), 1, Seite 16-38 (DE-627)1665781963 (DE-600)2972364-4 25895532 nnns volume:3 year:2018 number:1 pages:16-38 https://doi.org/10.3724/SP.J.1383.301002 kostenfrei https://doaj.org/article/d53af6dd63974ed3b95df7438dea1fd5 kostenfrei http://www.sciencedirect.com/science/article/pii/S2096232019300435 kostenfrei https://doaj.org/toc/2096-2320 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 3 2018 1 16-38
allfieldsGer	10.3724/SP.J.1383.301002 doi (DE-627)DOAJ041218442 (DE-599)DOAJd53af6dd63974ed3b95df7438dea1fd5 DE-627 ger DE-627 rakwb eng T55.4-60.8 Zhihong Jian verfasserin aut The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality Industrial engineering. Management engineering Pingjun Deng verfasserin aut Kaiyuan Luo verfasserin aut Zhican Zhu verfasserin aut In Journal of Management Science and Engineering KeAi Communications Co., Ltd., 2020 3(2018), 1, Seite 16-38 (DE-627)1665781963 (DE-600)2972364-4 25895532 nnns volume:3 year:2018 number:1 pages:16-38 https://doi.org/10.3724/SP.J.1383.301002 kostenfrei https://doaj.org/article/d53af6dd63974ed3b95df7438dea1fd5 kostenfrei http://www.sciencedirect.com/science/article/pii/S2096232019300435 kostenfrei https://doaj.org/toc/2096-2320 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 3 2018 1 16-38
allfieldsSound	10.3724/SP.J.1383.301002 doi (DE-627)DOAJ041218442 (DE-599)DOAJd53af6dd63974ed3b95df7438dea1fd5 DE-627 ger DE-627 rakwb eng T55.4-60.8 Zhihong Jian verfasserin aut The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality Industrial engineering. Management engineering Pingjun Deng verfasserin aut Kaiyuan Luo verfasserin aut Zhican Zhu verfasserin aut In Journal of Management Science and Engineering KeAi Communications Co., Ltd., 2020 3(2018), 1, Seite 16-38 (DE-627)1665781963 (DE-600)2972364-4 25895532 nnns volume:3 year:2018 number:1 pages:16-38 https://doi.org/10.3724/SP.J.1383.301002 kostenfrei https://doaj.org/article/d53af6dd63974ed3b95df7438dea1fd5 kostenfrei http://www.sciencedirect.com/science/article/pii/S2096232019300435 kostenfrei https://doaj.org/toc/2096-2320 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 3 2018 1 16-38
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topic_title	T55.4-60.8 The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures
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title	The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures
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title_sort	effect of market quality on the causality between returns and volatilities: evidence from csi 300 index futures
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title_auth	The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures
abstract	This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality
abstractGer	This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality
abstract_unstemmed	This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based noise variance estimator as the comprehensive proxy for market quality and find that volatility asymmetry is closely related to market quality. Specifically, in the period of poor market quality, the volatility asymmetry will vanish or even be reversed, which is mainly due to the sharp decline of the leverage effects. Moreover, the volatility feedback effect will be enhanced while the leverage effect will be weakened if the noise variance is taken into consideration in the causal analysis. Finally, we use other market quality indices as auxiliary variables in the robustness analysis and get similar results. Keywords: Leverage effect, Volatility feedback effect, Volatility asymmetry, CSI 300 index futures, Market quality
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title_short	The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures
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