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

Table 5

The results of estimating the parameters of A matrix.

Samples		A matrix		Standard errors for A matrix (100)
		r		r
D02	r	1.00	−0.08	0.69	−93.65
		136.20	1.00	−93.65	12759.66
D03	r	1.00	−0.001	99.99	−12.17
		0.12	1.00	−12.17	101.48
D04	r	1.00	−0.07	0.87	−114.90
		133.00	1.00	−114.90	15286.30
D05	r	1.00	0.07	0.73	106.90
		−147.50	1.00	106.94	15785.50
D06	r	1.00	0.06	1.05	143.30
		−137.30	1.00	143.27	19675.30
D09	r	1.00	−0.08	0.64	−94.43
		148.00	1.00	−94.43	13983.82
D10	r	1.00	−0.001	99.98	−12.41
		0.1249	1.00	−12.41	101.54
D11	r	1.00	−0.001	99.98	−12.21
		0.12	1.00	−12.21	101.49
D12	r	1.00	0.06	1.10	155.20
		−141.80	1.00	155.20	22024.20
D13	r	1.00	−0.07	0.90	−122.30
		137.20	1.00	−122.25	16779.50