Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model
The results of data description using ten samples of high-frequency data to describe the intraday characteristics of the CSI 300 index futures show that there is no significant summit and fat tail phenomenon. The Granger causality test shows that there is not only a two-way Granger causality between...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2019-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2019/8676531 |