Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic
This paper introduces thermal optimal path method to investigate the dynamics lead-lag relationship of jumps among Chinese stock index and futures market under the background of the Covid-19 epidemic. Based on three representative stock indexes and their index futures in China, we find the lead-lag...
Gespeichert in:
Veröffentlicht in: | Research in international business and finance 2022-10, Vol.61, p.101669-101669, Article 101669 |
---|---|
Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | This paper introduces thermal optimal path method to investigate the dynamics lead-lag relationship of jumps among Chinese stock index and futures market under the background of the Covid-19 epidemic. Based on three representative stock indexes and their index futures in China, we find the lead-lag structure changes significantly before and after the outbreak of COVID-19. Before the epidemic, there is mutual effect between different markets jumps. However, CSI 300 futures and SSE 50 futures significantly lead other markets for the after-epidemic period. For the volatility forecasting based on cross-market jumps, the lagged jumps of CSI 300 and SSE 50 index futures have significantly impacts on the volatility forecast of other markets.
[Display omitted]
•Thermal optimal path method is used to investigate lead-lag relation of jumps among stock index and futures market.•The lead-lag structure changes significantly before and after the outbreak of COVID-19.•CSI 300 futures and SSE 50 futures significantly lead other markets for the after-epidemic period.•The lagged jumps of CSI 300 and SSE 50 index futures impact the volatility of other markets. |
---|---|
ISSN: | 0275-5319 1878-3384 1878-3384 |
DOI: | 10.1016/j.ribaf.2022.101669 |