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

Yusaku Nishimura, Yoshiro Tsutsui () and Kenjiro Hirayama ()
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Kenjiro Hirayama: School of Economics, Kwansei Gakuin University

No 14-01, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

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.

Keywords: return and volatility spillover; China related stock index; high-frequency data; intraday periodicity; long memory (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2014-01
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Intraday return and volatility spillover mechanism from Chinese to Japanese stock market (2015)
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