Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data

• 資料種別: 文書・図像類
• タイトル: Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data
• 著者・編者: Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro
• 著者標目: Nishimura, Yusaku; https://nrid.nii.ac.jp/nrid/1000010581423; Tsutsui, Yoshiro; https://nrid.nii.ac.jp/nrid/1000050163845; Hirayama, Kenjiro; https://nrid.nii.ac.jp/nrid/1000070165207
• 出版事項: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
• 出版年月日等: 2012-02
• 出版年（W3CDTF）: 2012-02
• タイトル（掲載誌）: Discussion Papers In Economics And Business
• 巻号年月日等（掲載誌）: 12-01
• 掲載巻: 12-01
• 本文の言語コード: eng
• 件名標目: intraday return and volatility spillover effects; high-frequency data; intraday periodicity; CCF approach; Flexible Fourier Form
• 対象利用者: 一般
• 一般注記: In this paper we analyze return and volatility spillovers during overlapping trading hoursbetween China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intradayhigh-frequency data. We first adjusted the 5-min. returns for intraday periodicity withFlexible Fourier Form (FFF). Then these data are used to estimate a FIAPARCH model thestandard residuals of which are then employed to test for causality in mean and in variancewith a cross-correlation function (CCF) approach. The results indicate a unidirectionalinfluence from China to Japan both in terms of return and volatility. Further, volatilityspillover arises with some delay after a return spillover.
• 掲載誌（NCID）: AA1160366X; https://ci.nii.ac.jp/ncid/AA1160366X
• 参照（URI）: URI; http://www2.econ.osaka-u.ac.jp/library/global/dp/1201.pdf
• 連携機関・データベース: 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• 提供元機関・データベース: 大阪大学 : 大阪大学学術情報庫 桜華