The cross-market dynamic effects of liquidity on volatility: evidence from Chinese stock index and futures markets

Gaoxiu Qiao, Yuxin Teng, Yanyan Xu and Lu Wang

Applied Economics, 2020, vol. 52, issue 1, 85-99

Abstract: This article investigates the cross-market asymmetric dynamic effects of liquidity on realized volatility and its intersection with jump volatility between Chinese stock index and futures market. The influence of index liquidity on futures market volatility is negative significantly after controlling for the long memory feature of realized volatility, and becomes much stronger for the after-crisis period. Liquidity of the futures market has a relative weak positive impact on stock volatility, and becomes insignificant after crisis. Our study reveals different influence mechanisms from the commonly known information transmission that new information is reflected in futures prices and volatility more quickly. The cross-market dynamic effects are time-varying and not influenced after controlling for jump volatility. Especially, index liquidity impacts positive jumps of both markets, while there is no impact of futures liquidity to index jump volatility.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2019.1640861 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:52:y:2020:i:1:p:85-99

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2019.1640861

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().