The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets
AbstractThis 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.
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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 10-29.
Length: 25 pages
Date of creation: Dec 2010
Date of revision:
Lehman crisis; high-frequency data; FIAPARCH model; intraday periodicity; FFF regression;
Other versions of this item:
- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets," Discussion Papers in Economics and Business 10-29-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Mar 2011.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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