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

Author

Listed:
  • Yusaku Nishimura

    (Institute of International Economy, University of International Business and Economics)

  • Yoshiro Tsutsui

    (Graduate School of Economics, Osaka University)

  • Kenjiro Hirayama

    (Kwansei Gakuin University)

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.

Suggested Citation

  • Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:1201
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    References listed on IDEAS

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    Cited by:

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    2. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2015. "Intraday return and volatility spillover mechanism from Chinese to Japanese stock market," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 23-42.

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    More about this item

    Keywords

    Yield spreads; intraday return and volatility spillover effects; high-frequency data; intraday periodicity; CCF approach; Flexible Fourier Form;
    All these keywords.

    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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