The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets

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

No 10-29-Rev, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This paper analyzes intraday volatility of the stock markets of mainland China, Hong Kong, Japan, and the US for the period of two months around the Lehman crisis. Specifically, dividing the observation period from July 15 to November 28, 2008 into two sub-periods at the failure of Lehman Brothers, we investigate how intraday volatility changes and whether the changes are different among the stock markets. The results reveal the followings: First, although intraday volatility rapidly increases in all the markets, the effect on Chinese market is limited. Second, after the failure, the long-memory features were strengthened further and the effect of price-down shock on the volatility was mitigated. Finally, FFF regression effectively removes the intraday periodicity of volatility for all the markets.

Keywords: Lehman crisis; high-frequency data; FIAPARCH model; intraday periodicity; FFF regression (search for similar items in EconPapers)
JEL-codes: C22 G01 G14 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2010-12, Revised 2011-03
New Economics Papers: this item is included in nep-mst and nep-rmg
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets (2010)
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