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Volatility--volume causality across single stock spot--futures markets in India

Author

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  • Anshul Jain
  • Pratap Chandra Biswal
  • Sajal Ghosh

Abstract

This study examines the causal relationships between volatility and volume across spot and futures market for the 50 constituent stocks of the CNX NIFTY Index. Granger non-causality tests implemented using vector autoregression (VAR) and asymmetric VAR models indicate the presence of significant causal relations from both the spot and futures volume to both the spot and futures volatility. Bidirectional causal relationships between spot and futures volume were observed for almost all stocks but few stocks displayed a similar relationship between volatilities. The results highlight the importance of volume in absorbing information and its behaviour as the conduit of information.

Suggested Citation

  • Anshul Jain & Pratap Chandra Biswal & Sajal Ghosh, 2016. "Volatility--volume causality across single stock spot--futures markets in India," Applied Economics, Taylor & Francis Journals, vol. 48(34), pages 3228-3243, July.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:34:p:3228-3243
    DOI: 10.1080/00036846.2015.1136401
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    Cited by:

    1. Edward Curran & Jack Hunt & Vito Mollica, 2021. "Single stock futures and their impact on market quality: Be careful what you wish for," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1677-1692, November.
    2. Aravind Sampath & Arun Kumar Gopalaswamy, 2020. "Intraday Variability and Trading Volume: Evidence from National Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(3), pages 271-295, December.
    3. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    4. Biswal, P.C. & Jain, Anshul, 2019. "Should central banks use the currency futures market to manage spot volatility? Evidence from India," Journal of Multinational Financial Management, Elsevier, vol. 52.

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