Return and Volatility Spillovers between Japanese and Chinese Stock MarketsFAn Analysis of Overlapping Trading Hours with High-frequency Data
AbstractIn 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.
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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 12-01.
Length: 26 pages
Date of creation: Jan 2012
Date of revision:
Yield spreads; intraday return and volatility spillover effects; high-frequency data; intraday periodicity; CCF approach; Flexible Fourier Form;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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