By a News Reporter-Staff News Editor at Investment Weekly News -- New research on Finance is the subject of a report. According to news reporting originating from Andhra Pradesh, India, by VerticalNews correspondents, research stated, “Copeland (1976) and Shalen (1993) state that the causal relationship between trading activity variables, such as volume, open interest and volatility, the three most important factors for traders and portfolio managers, extends beyond one day. However, the literature on causality thus far concerns a one-day horizon.”
Our news editors obtained a quote from the research, “In this study, we provide a more powerful causality test by measuring the strength of the causal relationship over a multiple horizon. The robustness of the results is analysed by splitting the sample into two period pre and post 2008 crisis.”
According to the news editors, the research concluded: “Our findings may impact the designing of trading strategies.”
For more information on this research see: Index futures volatility and trading activity: Measuring causality at a multiple horizon. Finance Research Letters , 2018;24():247-255. Finance Research Letters can be contacted at: Academic Press Inc Elsevier Science, 525 B St, Ste 1900, San Diego, CA 92101-4495, USA. (Elsevier - www.elsevier.com; Finance Research Letters - http://www.journals.elsevier.com/finance-research-letters/)
The news editors report that additional information may be obtained by contacting S.K. Jena, IFHE Univ, IBS Hyderabad, Dept. of Finance & Accounting, Hyderabad, Andhra Pradesh, India. Additional authors for this research include A.K. Tiwari, D. Roubaud and M. Shahbaz.
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.frl.2017.09.012. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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CITATION: (2018-04-14), Reports from S.K. Jena and Co-Researchers Add New Data to Findings in Finance (Index futures volatility and trading activity: Measuring causality at a multiple horizon), Investment Weekly News, 513, ISSN: 1945-8185, BUTTER® ID: 015455809
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