Details about Kenjiro Hirayama

Access statistics for papers by Kenjiro Hirayama.

Last updated 2016-04-05. Update your information in the RePEc Author Service.

Short-id: phi142

Working Papers

2017

1. Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics View citations (2)

2014

2. Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics View citations (8)
   See also Journal Article Intraday return and volatility spillover mechanism from Chinese to Japanese stock market, Journal of the Japanese and International Economies, Elsevier (2015) View citations (17) (2015)

2012

3. Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics View citations (3)

2011

4. The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics View citations (1)
   Also in Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics (2010)

2009

5. Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics View citations (1)

2008

6. How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics
   See also Journal Article HOW FAST DO TOKYO AND NEW YORK STOCK EXCHANGES RESPOND TO EACH OTHER? AN ANALYSIS WITH HIGH‐FREQUENCY DATA, The Japanese Economic Review, Japanese Economic Association (2010) View citations (6) (2010)

2005

7. Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices?
   ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (1)

2004

8. Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data
   ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (3)
   Also in Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics (2003) View citations (2)
   Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics (2004) View citations (2)

1995

9. Monetary Autonomy in the Presence of Capital Flows: And Never the Twain Shall Meet, Except in Asia?
   Department of Economics, California Davis - Department of Economics View citations (4)
   Also in Working Papers, California Davis - Institute of Governmental Affairs (1995) View citations (2)

Journal Articles

2018

1. Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets
   Economic Modelling, 2018, 69, (C), 237-248 View citations (14)

2016

2. The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects
   The Japanese Economic Review, 2016, 67, (3), 280-294 View citations (2)

2015

3. Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
   Journal of the Japanese and International Economies, 2015, 35, (C), 23-42 View citations (17)
   See also Working Paper Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market, Discussion Papers in Economics and Business (2014) View citations (8) (2014)

2013

4. Does exchange rate volatility deter Japan-China trade? Evidence from pre- and post-exchange rate reform in China
   Japan and the World Economy, 2013, 25-26, 90-101 View citations (29)
5. International Stock Price Co-movement
   Asian Economic Papers, 2013, 12, (3), 157-191 View citations (1)

2010

6. HOW FAST DO TOKYO AND NEW YORK STOCK EXCHANGES RESPOND TO EACH OTHER? AN ANALYSIS WITH HIGH‐FREQUENCY DATA
   The Japanese Economic Review, 2010, 61, (2), 175-201 View citations (6)
   See also Working Paper How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data, Discussion Papers in Economics and Business (2008) (2008)

2007

7. Special Quotes Invoke Autocorrelation in Japanese Stock Prices
   Asian Economic Journal, 2007, 21, (4), 369-386 View citations (3)

2005

8. Estimation of the common and country-specific shock to stock prices
   Journal of the Japanese and International Economies, 2005, 19, (3), 322-337 View citations (8)

2004

9. Appropriate lag specification for daily responses of international stock markets
   Applied Financial Economics, 2004, 14, (14), 1017-1025 View citations (16)
10. Are international portfolio adjustments a cause of comovements in stock prices?
    Pacific-Basin Finance Journal, 2004, 12, (4), 463-478 View citations (6)

1998

11. Threshold effect in international linkage of stock prices
    Japan and the World Economy, 1998, 10, (4), 441-453 View citations (15)

Chapters

1996

1. Monetary Autonomy in the Presence of Capital Flows: And Never the Twain Shall Meet, Except in East Asia?
   A chapter in Financial Deregulation and Integration in East Asia, 1996, pp 307-333 View citations (6)