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An anatomy of Chinese stock and futures markets' dynamic features

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  • Chaoyou Wang
  • Yuanyuan Guo
  • Qiang Ye

Abstract

This letter uses a fusion model to investigate the coexistence of three distinctive dynamic features of Chinese stock and stock index futures markets: permanent volatility, transitory volatility and jumps. These three features are included in the component-GARCH-jump model proposed in the research. The empirical results show that permanent volatility has smooth movement and that the transitory volatilities strongly resemble each other. Jumps and volatility do not coincide significantly, indicating that the model divides them efficiently. In addition, the stock market is often restrained by daily price limits and processes abrupt information more slowly. Therefore, the stock market has more transitory part and the futures market has more jumps.

Suggested Citation

  • Chaoyou Wang & Yuanyuan Guo & Qiang Ye, 2015. "An anatomy of Chinese stock and futures markets' dynamic features," Applied Economics Letters, Taylor & Francis Journals, vol. 22(16), pages 1329-1334, November.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:16:p:1329-1334
    DOI: 10.1080/13504851.2015.1029111
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    Cited by:

    1. Qian Wang & Xiaojie Pei & Huigang Liang, 2022. "Founder CEO, CEO Characteristics, and Firm Innovation Efficiency: An Empirical Study of China’s GEM-Listed Companies," Sustainability, MDPI, vol. 14(14), pages 1-22, July.

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