Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock
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- 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 and Osaka School of International Public Policy (OSIPP).
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Keywordsinternational linkage of stock prices; high frequency data; inefficiency; overreaction; China;
- 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
NEP fieldsThis 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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