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

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論文情報

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	Nishimura, Yusaku Nishimura, Yusaku
	Tsutsui, Yoshiro Tsutsui, Yoshiro
	Hirayama, Kenjiro 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.
公開者	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
掲載誌名	Discussion Papers In Economics And Business
巻	12-01
刊行年月	2012-02
URL	http://hdl.handle.net/11094/13733
関連情報 (references)	http://www2.econ.osaka-u.ac.jp/library/global/dp/1201.pdf
言語	英語

著者版フラグ	none
NII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.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
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2012-02
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/13733
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.
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	http://hdl.handle.net/11094/13733
citation_keywords	intraday return and volatility spillover effects
	high-frequency data
	intraday periodicity
	CCF approach
	Flexible Fourier Form

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