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

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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Bibliographic Details
Main Authors: Zhihong Jian, Pingjun Deng, Kaiyuan Luo, Zhican Zhu
Format: Article
Language:English
Published: KeAi Communications Co., Ltd. 2018-03-01
Series:Journal of Management Science and Engineering
Online Access:http://www.sciencedirect.com/science/article/pii/S2096232019300435

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