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

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro

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

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro

Discussion Papers In Economics And Business, 2012, 12-01

アクセス数:244件（2025-07-13 21:04 集計）

固定URL: https://hdl.handle.net/11094/13733

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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	NRID 1000010581423 1000010581423 著者名 Nishimura, Yusaku
	NRID 1000050163845 1000050163845 著者名 Tsutsui, Yoshiro
	NRID 1000070165207 1000070165207 著者名 Hirayama, Kenjiro
キーワード等	intraday return and volatility spillover effects
	high-frequency data
	intraday periodicity
	CCF approach
	Flexible Fourier Form
抄録	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.
出版者	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
収録物名	Discussion Papers In Economics And Business
巻(号)	12-01
刊行年月	2012-02
言語	英語
ハンドルURL	https://hdl.handle.net/11094/13733
NCID	AA1160366X
関連情報 (references)	URI http://www2.econ.osaka-u.ac.jp/library/global/dp/1201.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Discussion Papers In Economics And Business

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business. 2012, 12-01
DC.title	Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data
DC.creator	Nishimura, Yusaku
	Tsutsui, Yoshiro
	Hirayama, Kenjiro
DC.publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2012-02
DC.relation' scheme='DCTERMS.URI	http://www2.econ.osaka-u.ac.jp/library/global/dp/1201.pdf
DC.subject	intraday return and volatility spillover effects
	high-frequency data
	intraday periodicity
	CCF approach
	Flexible Fourier Form
DCTERMS.abstract	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.
DC.format	13733
citation_title	Return and Volatility Spillovers between Japanese and Chinese Stock Markets : An Analysis of Overlapping Trading Hours with High-frequency Data
citation_author	Nishimura, Yusaku
	Tsutsui, Yoshiro
	Hirayama, Kenjiro
citation_publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
citation_language	英語
citation_date	2012-02
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	12-01
citation_public_url	https://hdl.handle.net/11094/13733
citation_abstract_html_url	http://www2.econ.osaka-u.ac.jp/library/global/dp/1201.pdf

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

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