Can volume predict Bitcoin returns and volatility? A quantiles-based approach

This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market returns. The linear and nonlinear causality tests were conducted through the standard VAR and the M-G frameworks, respectively. The results from both the linear and nonlinear unit root tests indicate that crude oil price changes and stock market returns are level stationary. The results from the standard VAR model provide evidence of bidirectional causality between crude oil price changes and stock market returns. The results from the M-G causality test support the finding of nonlinear bidirectional causality between crude oil price changes and stock market returns.

Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns

Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy

The spillover effects of European Union Allowances (EUA) spot and futures markets are important for investors in order to understand the relevance and risk management of product prices. This paper uses non-linear methods of Granger causality to test the mean spillover relationship between the two markets and then analyzes volatility spillovers between the two by the non-linear TVP-VAR spillover index. The results show that (1) the non-linear Granger causality test better reflects the mean spillover relationship between EUA spot and futures; (2) there is a bidirectional non-linear mean spillover effect between EUA spot and futures prices for the European Union Emissions Trading Scheme (EU ETS) phases II and III; and (3) volatility spillovers, appearing in EUA spot and future markets in both phases, work increasingly strong over time and are vulnerable to financial crises and extreme events.

Spillover effect between carbon spot and futures market: evidence from EU ETS

A Copula Nonlinear Granger Causality

The pricing of carbon allowance has gained wide attention from practitioners, economists and policy makers in recent years. Our paper constitutes the first exercise to employ nonlinear Granger causality test to examine the role of price discovery through the empirical relationship between EUA/CER spot price and futures price. We conduct our analysis in a comparative way by using both the Granger (1969)'s Granger causality test and the Hiemstra and Jones (1994)'s nonlinear Granger causality test. The results from linear Granger causality test show evidence of unidirectional causality from EUA spot price to the EUA futures price. In contrast, the results from nonlinear Granger causality test show significant bidirectional causality between futures price and spot price in both EUA and CER markets.

Testing for Linear and Nonlinear Granger Causality between the Carbon Spot and Futures Prices

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Testing for Linear and Nonlinear Granger Causality between the Carbon Spot and Futures Prices