| Article ID: | iaor19881054 |
| Country: | Belgium |
| Volume: | 28 |
| Issue: | 4 |
| Start Page Number: | 51 |
| End Page Number: | 74 |
| Publication Date: | Dec 1988 |
| Journal: | Belgian Journal of Operations Research, Statistics and Computer Science |
| Authors: | Chang Carolyn C.W., Chang Jack S.K., Keng Kenneth C.W. |
| Keywords: | statistics: multivariate |
A linear multivariate autoregressive model to analyze the causality relationships among stock index, stock index future and stock index future options prices is introduced and tested. The concept of, and a pair-wise procedure to detect, multiple causality is discussed. The test results show that causality relationships exist among the prices, which may be due to nonsynchronous trading, the transactional efficiency of futures and options trading, or transitory market disequilibrium.