Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test

TORUN E., Chang T., Chou R. Y.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, cilt.52, 2020 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 52
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1016/j.ribaf.2019.101115
  • Dergi Adı: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit
  • Anahtar Kelimeler: Granger causality, Futures market, Wavelet, Time-frequency analysis, STOCK INDEX FUTURES, LEAD-LAG RELATIONSHIP, MARKETS EVIDENCE, DISCOVERY, TRANSMISSION, VOLATILITY, MODEL
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

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.