ArticleResearch in international business and finance2022
Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic.
Article in Research in international business and finance, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 3 papers.
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3 citing papers in PubMed, 9 citations in OpenAlex.
- How does Chinese stock market react to breaking news about COVID-19? Evidence from event study.Heliyon · 2024Article
- Price guidance and discovery of the Chinese stock index Futures: Based on the rising, falling and fluctuating states.Heliyon · 2023Article
- Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks.Research in international business and finance · 2022Article
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3 authors at 2 institutions in 1 country.
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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.
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