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

Material type: 文書・図像類

Author: Nishimura, Yusakuほか

Publisher: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

Publication date: 2012-02

Material Format: Paper

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Note (General)：: In this paper we analyze return and volatility spillovers during overlapping trading hoursbetween China (Shanghai Composite Index) and Japan (Nikkei 2...

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Paper

Material Type: 文書・図像類
Title: Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data
Author/Editor: Nishimura, Yusaku
Tsutsui, Yoshiro
Hirayama, Kenjiro
Author Heading: 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
Publication, Distribution, etc.: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
Publication Date: 2012-02
Publication Date (W3CDTF): 2012-02
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 12-01
Volume: 12-01
Text Language Code: eng
Subject Heading: intraday return and volatility spillover effects
high-frequency data
intraday periodicity
CCF approach
Flexible Fourier Form
Target Audience: 一般
Note (General): 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.
Periodical Title (NCID): AA1160366X
https://ci.nii.ac.jp/ncid/AA1160366X
References (URI): URI
http://www2.econ.osaka-u.ac.jp/library/global/dp/1201.pdf
Data Provider (Database): 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
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華