Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock

Kenjiro Hirayama () and Yoshiro Tsutsui ()

No 09-35, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: Intraday minute-by-minute data from the Tokyo, Shanghai, and Shenzhen stock exchanges from January 7, 2008, to January 23, 2009, are analyzed to investigate the interaction between the Japanese and Chinese stock markets. We focus on two windows of time during which all three stock exchanges trade shares simultaneously, and specify appropriate lags in vector autoregression (VAR) estimations. Granger causality tests, variance decompositions, and impulse response functions show that, while Tokyo is impacted by Chinese stock price movements, China is relatively isolated. This implies that investors in Japan are more internationally oriented and alert to foreign markets than those in China.

Keywords: international linkage of stock prices; high frequency data; inefficiency; overreaction; China (search for similar items in EconPapers)
JEL-codes: F36 G14 G15 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2009-10
New Economics Papers: this item is included in nep-mst and nep-tra
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Citations: View citations in EconPapers (1)

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