Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market

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: 2014-01

Material Format: Paper

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Note (General)：: We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index co...

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Paper

Material Type: 文書・図像類
Title: Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market
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: 2014-01
Publication Date (W3CDTF): 2014-01
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 14-01
Volume: 14-01
Pages: 1-36
Text Language Code: eng
Subject Heading: return and volatility spillover
Chinare related stock index
high-frequency data
intraday periodicity
long memory
Target Audience: 一般
Note (General): We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years
Periodical Title (NCID): AA1160366X
https://ci.nii.ac.jp/ncid/AA1160366X
References (URI): URI
http://www2.econ.osaka-u.ac.jp/library/global/dp/1401.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