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...

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Veröffentlicht in:Research in international business and finance 2022-10, Vol.61, p.101669-101669, Article 101669
Hauptverfasser: Liu, Wenwen, Gui, Yiming, Qiao, Gaoxiu
Format: Artikel
Sprache:eng
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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