Empirical study on the efficiency of the stock index futures market from the information and functional perspectives – empirical evidence from China

Yang, Qing; Xiong, Pan

doi:10.1080/1331677x.2019.1674174

Cited by 2 publications

(1 citation statement)

References 58 publications

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“…Having in mind the aforementioned, the goal of this study is to thoroughly investigate the idiosyncratic volatility spillover effects between the four major agricultural futures markets -corn, wheat, soybean, and rice. We decided to analyse futures prices instead of spot prices, since futures prices incorporate all available information by definition, and thus are more appropriate for the volatility spillover measurement than real prices (Qu and Xiong 2019). In this process, we especially want to emphasize the way in which the idiosyncratic dynamic volatility of the agricultural futures is measured.…”

Section: What Bayesian Quantiles Can Tell About Volatility Transmissi...mentioning

confidence: 99%

What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

Živkov¹,

Kuzman²,

Subić³

2020

AGR ECON-CZECH

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This paper investigates an idiosyncratic volatility spillover effect between the four agricultural futures – corn, wheat, soybean, and rise. In order to avoid biased measurements of the volatilities, we use the Markov switching generalized autoregressive conditional heteroskedasticity (MS-GARCH) model. The created volatilities are imbedded in the Bayesian quantile regression framework which can produce accurate quantile estimates. We report that soybean and wheat receive relatively high levels of volatility shocks from the other markets, and that excludes soybean and wheat as primary investment assets in a portfolio. On the other hand, rice receives the lowest amount of volatility shocks from all other agricultural futures. The reason could be the policy of rice price stability that is conducted by countries in the Asia and Pacific region. This result favours rice futures, from the four commodities, as the primary asset in a portfolio. All other futures are suitable to be an auxiliary asset in a portfolio with rice, because rice receives the weakest volatility shocks spillover effect from the other three markets.

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Section: What Bayesian Quantiles Can Tell About Volatility Transmissi...mentioning

confidence: 99%

What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

Živkov¹,

Kuzman²,

Subić³

2020

AGR ECON-CZECH

View full text Add to dashboard Cite

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A tick-by-tick level measurement of the lead-lag duration between cryptocurrencies: The case of Bitcoin versus Cardano

Anderson

2023

Investment Management and Financial Innovations

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According to past research utilizing Bitcoin and other cryptocurrencies, Bitcoin has been shown to lead most other cryptocurrencies in terms of price movements. However, existing studies tend to focus on the direction of the lead-lag relationship instead of the duration of the lead-lag time. Furthermore, they are handicapped by the reliance on low-frequency data such as daily prices. This paper showcases the measurement of the lead-lag duration between cryptocurrencies using ultra-high-frequency tick-by-tick data, via the pair of Bitcoin and Cardano. Tick-by-tick data bring unique challenges in terms of methodology. The vast majority of time series econometrics methods are designed for use with data collected at regularly spaced time intervals, such as every hour, every day, etc. Tick-by-tick data, on the other hand, are not synchronized in any way and do not arrive at consistently spaced time intervals. Consequently, an asynchronous data integration methodology is utilized to estimate the Bitcoin price lead over Cardano price for each month beginning in January 2019 and continuing through May 2021. The length of the lead time ranges from 16 seconds to 118 seconds, with an average of around 57 seconds. Throughout the study period, the lengths of the lead time manifest a general trend of decline, which is shown to be statistically significant via non-parametric tests. Testing of seasonal patterns turns out to be not significant. The methodology and the findings of this paper have implications for both academics and practitioners, for example, when studying and implementing statistical arbitrage with cryptocurrencies.

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Empirical study on the efficiency of the stock index futures market from the information and functional perspectives – empirical evidence from China

Cited by 2 publications

References 58 publications

What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

A tick-by-tick level measurement of the lead-lag duration between cryptocurrencies: The case of Bitcoin versus Cardano

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