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

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.