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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2018-03-01
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| Series: | Journal of Management Science and Engineering |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232019300435 |