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	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	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
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	14-01
開始ページ	1
終了ページ	36
刊行年月	2014-01
言語	英語
ハンドルURL	https://hdl.handle.net/11094/26603
関連情報 (references)	関連識別子 http://www2.econ.osaka-u.ac.jp/library/global/dp/1401.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.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
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2014-01
DC.relation' scheme='DCTERMS.URI	http://www2.econ.osaka-u.ac.jp/library/global/dp/1401.pdf
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	https://hdl.handle.net/11094/26603
citation_abstract_html_url	http://www2.econ.osaka-u.ac.jp/library/global/dp/1401.pdf

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