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Xiaojie Xu
''Contemporaneous Causal Orderings of CSI300 and Futures Prices through Directed Acyclic Graphs''
( 2019, Vol. 39 No.3 )
This paper examines contemporaneous causality among daily price series of the Chinese Stock Index 300 (CSI300), nearby futures, and first distant futures for April 2010 ~ November 2014 through vector error correction modeling and directed acyclic graphs. As non-Gaussian data are prominent in financial time series, the recently developed Linear Non-Gaussian Acyclic Model (LiNGAM) algorithm is utilized to facilitate analysis. It refines results derived from the PC algorithm, which does not lead to the unique identification of a directed acyclic graph. The price series studied are tied together through cointegration and the nearby futures adjusts towards long-run relationships. Contemporaneous price information is determined to be discovered in the nearby futures. The results suggest that a shock to the nearby futures could have long-lasting effects on prices across the three series under consideration. Policy makers should pay close attention to the nearby futures for financial stability.
Keywords: CSI300, Futures, Contemporaneous Causality, Graph Theory, LiNGAM
JEL: C5 - Econometric Modeling: General
Manuscript Received : Mar 06 2019 Manuscript Accepted : Sep 07 2019

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