Proceedings of the 2015 3rd International Conference on Management Science, Education Technology, Arts, Social Science and Economics

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Causal Relationships between CSI300 Spot and Its Index Futures Revealed by Granger Causality and New Causality

Authors
Quanquan Liu, Sanqing Hu, Jianhai Zhang, Wanzeng Kong
Corresponding Author
Quanquan Liu
Available Online November 2015.
DOI
10.2991/msetasse-15.2015.175How to use a DOI?
Keywords
Granger Causality; New Causality; CSI 300 Spot; CSI 300 Index Futures
Abstract

Granger causality has been widely applied to stock markets to study causal relationships between two time series variables. In this paper, we use Granger Causality (GC) and our recently proposed New Causality (NC) to find the causality relationship between the CSI 300 Spot and its index futures which covers the time period from April 7, 2015 to September 8, 2015. The stock market in this period in China experienced Crazy rise and rapid crash. We first use GC and NC methods to analyze the causality between the CSI 300 Spot and its index future for the all sample period. The results by both methods reveal that the causal influence from CSI 300 index futures to CSI 300 Spot is much greater than that from CSI 300 Spot to CSI 300 index futures. We then calculate the rolling causality using two methods. The GC results show that the causal influence from CSI 300 index futures to CSI 300 Spot is always much greater than that from CSI 300 Spot to CSI 300 index, this may not be true in practice. The NC results show that the causal influence from CSI 300 index futures to CSI 300 Spot is greater than that from CSI 300 Spot to CSI 300 index by 80%, this may be true in practice. Anyway, both methods demonstrate that CSI 300 index futures has a major causal influence in CSI 300 Spot.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 3rd International Conference on Management Science, Education Technology, Arts, Social Science and Economics
Series
Advances in Social Science, Education and Humanities Research
Publication Date
November 2015
ISBN
978-94-6252-128-5
ISSN
2352-5398
DOI
10.2991/msetasse-15.2015.175How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Quanquan Liu
AU  - Sanqing Hu
AU  - Jianhai Zhang
AU  - Wanzeng Kong
PY  - 2015/11
DA  - 2015/11
TI  - Causal Relationships between CSI300 Spot and Its Index Futures Revealed by Granger Causality and New Causality
BT  - Proceedings of the 2015 3rd International Conference on Management Science, Education Technology, Arts, Social Science and Economics
PB  - Atlantis Press
SP  - 785
EP  - 789
SN  - 2352-5398
UR  - https://doi.org/10.2991/msetasse-15.2015.175
DO  - 10.2991/msetasse-15.2015.175
ID  - Liu2015/11
ER  -