In this paper, a mixed-frequency time-varying Copula-CoVaR model is constructed to systematically study the spectral risk measure and risk coupling mechanism between stock index futures and spot markets. With the help of the mixed-frequency model, the volatilities of stock index futures and spot are compared and analyzed, and the residuals are converted into probability integrals to analyze the dynamic dependence by using the time-varying Copula function. The risk spillover effect between stock index futures and spot market is analyzed by CoVaR method. Based on the 1-minute high-frequency data of 4 mega-cap stocks and A50 stock index futures in ASEAN countries from 2018-2023, the macroeconomic transmission mechanism of market spectrum risk characteristics and liquidity risk is analyzed. It is found that (1) the high-frequency returns of A50 stock index futures show significant spikethick-tail characteristics and volatility aggregation effects, and the classical RV value can effectively capture its highfrequency volatility pattern. (2) The Clayton Copula function fits the tail-dependent structure of mega-cap stocks and stock index futures optimally, indicating that there is significant tail risk spillover between markets under extreme risk events. (3) The level of regional liquidity risk is significantly affected by macroeconomic factors, with the largest liquidity volatility between the epidemic and the RCEP’s entry into force, and the risk profile improving after the RCEP’s implementation but not fully recovering to the pre-epidemic level.
