Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock
AbstractIntraday minute-by-minute data from the Tokyo, Shanghai, and Shenzhen stock exchanges from January 7, 2008, to January 23, 2009, are analyzed to investigate the interaction between the Japanese and Chinese stock markets. We focus on two windows of time during which all three stock exchanges trade shares simultaneously, and specify appropriate lags in vector autoregression (VAR) estimations. Granger causality tests, variance decompositions, and impulse response functions show that, while Tokyo is impacted by Chinese stock price movements, China is relatively isolated. This implies that investors in Japan are more internationally oriented and alert to foreign markets than those in China.
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Bibliographic InfoPaper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 09-35.
Length: 39 pages
Date of creation: Oct 2009
Date of revision:
international linkage of stock prices; high frequency data; inefficiency; overreaction; China;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-07 (All new papers)
- NEP-MST-2009-11-07 (Market Microstructure)
- NEP-TRA-2009-11-07 (Transition Economics)
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- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock MarketsFAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
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