Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data
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- 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.
- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- repec:agh:journl:v:18:y:2017:i:1:p:87-102 is not listed on IDEAS
More about this item
KeywordsYield spreads; intraday return and volatility spillover effects; high-frequency data; intraday periodicity; CCF approach; Flexible Fourier Form;
- 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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