Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model

Table 4

The vector autoregressive coefficient estimation of return for ten samples of trading Volume (D02, D03, …, D13).

	Estimate	Std. error	t value		Significant level
D02-VAR
r1	−4.810e − 01	5.818e − 03	−82.682	<2e − 16
v1	3.603e − 06	3.408e − 06	1.057	0.29041	‡
r2	−1.941e − 01	6.455e − 03	−30.069	<2e − 16
v2	1.785e − 06	3.485e − 06	0.512	0.60866	‡
r3	−3.446e − 02	6.552e − 03	−5.259	1.46e − 07
v3	−8.606e − 07	3.521e − 06	−0.244	0.80691	‡
r4	1.166e − 02	6.554e − 03	1.778	0.07535	†
v4	−3.089e − 06	3.534e − 06	−0.874	0.38219	‡
r5	1.798e − 02	6.551e − 03	2.745	0.00605
v5	−8.198e − 06	3.521e − 06	−2.328	0.01990
r6	1.373e − 02	6.454e − 03	2.128	0.03337
v6	−8.298e − 06	3.485e − 06	−2.381	0.01728
r7	2.578e − 03	5.816e − 03	0.443	0.65765	‡
v7	3.038e − 06	3.408e − 06	0.891	0.37281	‡
Const	1.078e − 04	6.126e − 05	1.760	0.07844	†
D03-VAR
r1	−4.293e − 01	5.769e − 03	−74.416	<2e − 16
v1	6.669e − 06	2.944e − 06	2.265	0.02352
r2	−1.375e − 01	6.279e − 03	−21.894	<2e − 16
v2	−5.452e − 06	3.027e − 06	−1.801	0.07169	†
r3	−4.982e − 03	6.327e − 03	−0.788	0.43097	‡
v3	−3.213e − 06	3.057e − 06	−1.051	0.29333	‡
r4	3.164e − 02	6.324e − 03	5.003	5.68e − 07
v4	−9.732e − 06	3.057e − 06	−3.183	0.00146
r5	2.798e − 02	6.272e − 03	4.462	8.16e − 06
v5	−5.213e − 06	3.027e − 06	−1.722	0.08507	†
r6	1.379e − 02	5.764e − 03	2.393	0.01672
v6	8.199e − 06	2.945e − 06	2.784	0.00538
Const	1.236e − 04	5.830e − 05	2.120	0.03398
D04-VAR
r1	−4.456e − 01	5.751e − 03	−77.472	<2e − 16
v1	−1.841e − 06	3.234e − 06	−0.569	0.569132	‡
r2	−1.523e − 01	6.295e − 03	−24.190	<2e − 16
v2	−1.284e − 06	3.303e − 06	−0.389	0.697517	‡
r3	3.837e − 03	6.350e − 03	0.604	0.545655	‡
v3	−1.061e − 06	3.343e − 06	−0.317	0.750975	‡
r4	5.311e − 02	6.341e − 03	8.375	<2e − 16
v4	−2.710e − 07	3.360e − 06	−0.081	0.935715	‡
r5	5.661e − 02	6.341e − 03	8.927	<2e − 16
v5	3.474e − 06	3.360e − 06	1.034	0.301205	‡
r6	4.639e − 02	6.350e − 03	7.305	2.84e − 13
v6	3.749e − 06	3.342e − 06	1.122	0.261919
r7	2.371e − 02	6.296e − 03	3.765	0.000167
v7	−1.627e − 06	3.301e − 06	−0.493	0.622077	‡
r8	8.281e − 03	5.752e − 03	1.440	0.149964	‡
v8	−9.504e − 07	3.232e − 06	−0.294	0.768731	‡
Const	−1.379e − 05	6.585e − 05	−0.209	0.834183	†
D05-VAR
r1	−4.380e − 01	5.765e − 03	−75.966	<2e − 16
v1	1.320e − 05	3.242e − 06	4.072	4.67e − 05
r2	−1.466e − 01	6.296e − 03	−23.286	<2e − 16
v2	−2.290e − 06	3.321e − 06	−0.690	0.4905	‡
r3	8.412e − 03	6.353e − 03	1.324	0.1855	‡
v3	7.486e − 07	3.381e − 06	0.221	0.8248	‡
r4	6.817e − 02	6.353e − 03	10.729	<2e − 16
v4	−4.802e − 06	3.401e − 06	−1.412	0.1579	‡
r5	5.420e − 02	6.358e − 03	8.524	<2e − 16
v5	7.056e − 07	3.407e − 06	0.207	0.8359	‡
r6	1.530e − 02	6.353e − 03	2.409	0.0160
v6	5.987e − 07	3.401e − 06	0.176	0.8603	‡
r7	1.635e − 02	6.353e − 03	2.575	0.0100
v7	−1.822e − 06	3.381e − 06	−0.539	0.5899	‡
r8	2.015e − 03	6.295e − 03	0.320	0.7488	‡
v8	−5.570e − 06	3.319e − 06	−1.678	0.0933	†
r9	−2.128e − 03	5.765e − 03	−0.369	0.7120	‡
v9	3.052e − 06	3.240e − 06	0.942	0.3463	‡
Const	−8.944e − 05	6.208e − 05	−1.441	0.1496	‡
D06-VAR
r1	−3.770e − 01	5.734e − 03	65.755	<2e − 16
v1	9.924e − 06	3.159e − 06	3.141	0.00169
r2	−7.463e − 02	6.135e − 03	−12.165	<2e − 16
v2	3.182e − 06	3.255e − 06	0.978	0.32831	‡
r3	4.361e − 02	6.155e − 03	7.085	1.43e − 12
v3	−1.275e − 06	3.296e − 06	−0.387	0.69877	‡
r4	6.103e − 02	6.161e − 03	9.906	<2e − 16
v4	1.974e − 07	3.307e − 06	0.060	0.95239	‡
r5	2.841e − 02	6.167e − 03	4.607	4.10e − 06
v5	−2.664e − 06	3.306e − 06	−0.806	0.42042	‡
r6	1.424e − 02	6.167e − 03	2.309	0.02095
v6	1.652e − 06	3.294e − 06	0.502	0.61597	‡
r7	5.811e − 03	6.151e − 03	0.945	0.34482	‡
v7	−4.773e − 06	3.251e − 06	−1.468	0.14209	‡
r8	1.090e − 02	5.747e − 03	1.897	0.05783	†
v8	−3.229e − 06	3.153e − 06	−1.024	0.30584	‡
Const	1.984e − 05	6.682e − 05	0.297	0.76653	†
D09-VAR
r1	−4.279e − 01	5.789e − 03	−73.917	<2e − 16
v1	−1.126e − 05	3.575e − 06	−3.150	0.00163
r2	−1.470e − 01	6.299e − 03	−23.335	<2e − 16
v2	7.269e − 06	3.665e − 06	1.983	0.04734
r3	−7.382e − 03	6.361e − 03	−1.160	0.24587	‡
v3	−1.062e − 05	3.718e − 06	−2.856	0.00429
r4	4.816e − 02	6.364e − 03	7.567	3.92e − 14
v4	2.387e − 06	3.734e − 06	0.639	0.52264	‡
r5	3.615e − 02	6.368e − 03	5.677	1.39e − 08
v5	3.604e − 06	3.748e − 06	0.962	0.33630	‡
r6	1.712e − 02	6.365e − 03	2.689	0.00716
v6	5.297e − 06	3.734e − 06	1.419	0.15600	‡
r7	3.106e − 04	6.366e − 03	0.049	0.96109	‡
v7	1.169e − 06	3.716e − 06	0.315	0.75300	‡
r8	9.281e − 03	6.306e − 03	1.472	0.14106	‡
v8	−4.799e − 07	3.663e − 06	−0.131	0.89575	†
r9	1.183e − 03	5.793e − 03	0.204	0.83818	‡
v9	−7.533e − 06	3.571e − 06	−2.109	0.03492
Const	4.145e − 05	6.497e − 05	0.638	0.52347	‡
D10-VAR
r1	−4.752e − 01	5.813e − 03	−81.757	<2e − 16
v1	1.459e − 05	3.467e − 06	4.209	2.58e − 05
r2	−1.928e − 01	6.433e − 03	−29.965	<2e − 16
v2	−5.602e − 07	3.569e − 06	−0.157	0.875256	‡
r3	−2.834e − 02	6.527e − 03	−4.342	1.42e − 05
v3	4.510e − 06	3.625e − 06	1.244	0.213412	‡
r4	3.476e − 02	6.523e − 03	5.329	9.94e − 08
v4	−9.770e − 06	3.640e − 06	−2.684	0.007272
r5	4.284e − 02	6.522e − 03	6.568	5.17e − 11
v5	−6.514e − 07	3.640e − 06	−0.179	0.857965	‡
r6	3.710e − 02	6.525e − 03	5.686	1.32e − 08
v6	−2.934e − 06	3.625e − 06	−0.809	0.418285	‡
r7	3.055e − 02	6.431e − 03	4.750	2.04e − 06
v7	−4.310e − 07	3.569e − 06	−0.121	0.903882	‡
r8	2.030e − 02	5.810e − 03	3.493	0.000478
v8	1.927e − 06	3.468e − 06	0.556	0.578517	‡
Const	−8.371e − 05	6.088e − 05	−1.375	0.169159	‡
D11-VAR
r1	−4.397e − 01	5.777e − 03	−76.104	<2e − 16
v1	−3.154e − 06	3.199e − 06	−0.986	0.324202	‡
r2	−1.357e − 01	6.309e − 03	−21.510	<2e − 16
v2	5.703e − 06	3.307e − 06	1.724	0.084657	†
r3	7.086e − 03	6.351e − 03	1.116	0.264547
v3	8.151e − 06	3.348e − 06	2.435	0.014909
r4	6.332e − 02	6.341e − 03	9.986	<2e − 16
v4	2.836e − 06	3.358e − 06	0.845	0.398250	‡
r5	5.198e − 02	6.353e − 03	8.182	2.9e − 16
v5	−3.340e − 06	3.348e − 06	−0.998	0.318419	‡
r6	2.330e − 02	6.311e − 03	3.693	0.000222
v6	−2.326e − 06	3.307e − 06	−0.704	0.481742	‡
r7	1.443e − 02	5.778e − 03	2.497	0.012523
v7	−9.363e − 06	3.198e − 06	−2.928	0.003416
Const	4.260e − 05	5.999e − 05	0.710	0.477660	‡
D12-VAR
R1	−3.746e − 01	5.710e − 03	−65.599	<2e − 16
V1	5.194e − 06	3.003e − 06	1.730	0.0837	†
R2	−6.764e − 02	6.099e − 03	−11.090	<2e − 16
V2	−2.071e − 06	3.126e − 06	−0.663	0.5075	†
R3	6.305e − 02	6.109e − 03	10.320	<2e − 16
V3	−2.261e − 06	3.169e − 06	−0.714	0.4755	‡
R4	8.002e − 02	6.107e − 03	13.102	<2e − 16
V4	−2.033e − 06	3.179e − 06	−0.640	0.5224	‡
R5	5.667e − 02	6.117e − 03	9.265	<2e − 16
V5	−2.610e − 06	3.169e − 06	−0.824	0.4100	‡
R6	3.111e − 02	6.111e − 03	5.091	3.58e − 07
V6	−2.183e − 06	3.124e − 06	−0.699	0.4848	‡
R7	6.557e − 03	5.718e − 03	1.147	0.2515
V7	−7.159e − 08	3.001e − 06	−0.024	0.9810	‡
Const	1.348e − 04	6.799e − 05	1.983	0.0474
D13-VAR
r1	−4.049e − 01	5.747e − 03	−70.458	<2e − 16
v1−	−1.883e − 06	3.182e − 06	−0.592	0.554	‡
r2	−1.098e − 01	6.196e − 03	−17.723	<2e − 16
v2	3.107e − 07	3.284e − 06	0.095	0.925	‡
r3	2.989e − 02	6.222e − 03	4.803	1.57e − 06
v3	5.358e − 07	3.312e − 06	0.162	0.871	‡
r4	6.247e − 02	6.215e − 03	10.052	<2e − 16
v4	−2.138e − 06	3.321e − 06	−0.644	0.520	‡
r5	4.974e − 02	6.224e − 03	7.991	1.38e − 15
v5	−2.441e − 07	3.312e − 06	−0.074	0.941	‡
r6	3.805e − 02	6.199e − 03	6.139	8.40e − 10
v6	1.697e − 06	3.284e − 06	0.517	0.605	‡
r7	8.413e − 03	5.748e − 03	1.464	0.143	‡
v7	−1.506e − 06	3.181e − 06	−0.473	0.636	‡
Const	5.524e − 05	6.475e − 05	0.853	0.394	‡

Significance level: , 0; , 0.001; , 0.01; †, 0.05; ‡, 0.1.