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

Gaoxiu Qiao,Yuxin Teng,Yanyan Xu,Lu Wang

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

2019

Gaoxiu Qiao
Yuxin Teng
Yanyan Xu
Lu Wang

ABSTRACTThis 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 m...

Keywords:

Jump
Macroeconomics
Economics
Futures contract
Realized variance
Stock market index
Monetary economics
Volatility (finance)
Market liquidity

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