Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test |
| |
Affiliation: | 1. Department of International Business and Trade, Dokuz Eylul University, Turkey;2. Department of Finance, National Yunlin University of Science and Technology, Taiwan;3. Pervasive Artificial Intelligence Research Labs, Taiwan;4. Institute of Economics, Academia Sinica, Taiwan |
| |
Abstract: | This study investigates the causal information flow between 45 major daily spot returns and their corresponding futures in developing, emerging, and commodity indices through a novel nonparametric wavelet Granger causality test (NWGC) that is capable of detecting causality patterns in various time scales without any stationarity assumption or multivariate autoregressive modeling requirement. We provide new evidence for a complex causality pattern phenomenon. First, there may not be just one dichotomous answer about the Granger causality test for each market data in a time domain, as markets exhibit different causal information flows for different time scales. Second, each market may show distinct causality patterns compared to other markets. |
| |
Keywords: | Granger causality Futures market Wavelet Time-frequency analysis |
本文献已被 ScienceDirect 等数据库收录! |
|