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

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro

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論文情報

タイトル	Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market
著者	Nishimura, Yusaku Nishimura, Yusaku
	Tsutsui, Yoshiro Tsutsui, Yoshiro
	Hirayama, Kenjiro Hirayama, Kenjiro
キーワード等	return and volatility spillover
	Chinare related stock index
	high-frequency data
	intraday periodicity
	long memory
抄録	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
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	14-01
開始ページ	1
終了ページ	36
刊行年月	2014-01
URL	http://hdl.handle.net/11094/26603
関連情報 (references)	http://www2.econ.osaka-u.ac.jp/library/global/dp/1401.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.14-01 P.1-P.36
DC.title	Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market
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	2014-01
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/26603
DC.subject	return and volatility spillover
	Chinare related stock index
	high-frequency data
	intraday periodicity
	long memory
DCTERMS.abstract	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
citation_title	Intraday Return and Volatili Spillover Mechanism from Chinese to Japanese Stock Market
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	2014-01
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	14-01
citation_firstpage	1
citation_lastpage	36
citation_public_url	http://hdl.handle.net/11094/26603
citation_keywords	return and volatility spillover
	Chinare related stock index
	high-frequency data
	intraday periodicity
	long memory

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