IDEAS home Printed from https://ideas.repec.org/p/osk/wpaper/0935.html
   My bibliography  Save this paper

Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock

Author

Listed:
  • Kenjiro Hirayama

    (Kwansei Gakuin University)

  • Yoshiro Tsutsui

    (Graduate School of Economics, Osaka University)

Abstract

Intraday 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.

Suggested Citation

  • Kenjiro Hirayama & Yoshiro Tsutsui, 2009. "Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock," Discussion Papers in Economics and Business 09-35, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:0935
    as

    Download full text from publisher

    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0935.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.

    More about this item

    Keywords

    international linkage of stock prices; high frequency data; inefficiency; overreaction; China;
    All these keywords.

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:osk:wpaper:0935. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: The Economic Society of Osaka University (email available below). General contact details of provider: https://edirc.repec.org/data/feosujp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.