Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic

Wenwen Liu, Yiming Gui and Gaoxiu Qiao

Research in International Business and Finance, 2022, vol. 61, issue C

Abstract: 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.

Keywords: Jumps; Thermal optimal path; Dynamics lead-lag relationship; Covid-19 epidemic; Stock index and futures (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000575

DOI: 10.1016/j.ribaf.2022.101669

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