Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

Yusaku Nishimura, Yoshiro Tsutsui () and Kenjiro Hirayama ()

Journal of the Japanese and International Economies, 2015, vol. 35, issue C, 23-42

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/volatility spillover; China related stock index; High-frequency data; Intraday periodicity (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Working Paper: Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:35:y:2015:i:c:p:23-42

DOI: 10.1016/j.jjie.2014.11.005

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