Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data

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

No 12-01, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: In this paper we analyze return and volatility spillovers during overlapping trading hours between China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intraday high-frequency data. We first adjusted the 5-min. returns for intraday periodicity with Flexible Fourier Form (FFF). Then these data are used to estimate a FIAPARCH model the standard residuals of which are then employed to test for causality in mean and in variance with a cross-correlation function (CCF) approach. The results indicate a unidirectional influence from China to Japan both in terms of return and volatility. Further, volatility spillover arises with some delay after a return spillover.

Keywords: Yield spreads; intraday return and volatility spillover effects, high-frequency data, intraday periodicity, CCF approach, Flexible Fourier Form (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2012-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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