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Intraday return and volatility spillover mechanism from Chinese to Japanese stock market |
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| Affiliation: | 1. The South East Asian Central Banks (SEACEN) Research and Training Centre, Kuala Lumpur, Malaysia;2. Centre for Applied Macroeconomic Analysis (CAMA), Australian National University (ANU), Canberra, Australia;1. Nomura Securities, 2-2-2, Otemachi, Chiyoda-ku, Tokyo 100-0004, Japan;2. Faculty of Economics, Hosei University, 2-17-1 Fujimi, Chiyoda-ku, Tokyo 102-8160, Japan;1. Otto-Friedrich-Universität Bamberg and Universidad San Francisco de Quito, Ecuador;2. University of Hamburg, Germany |
| Abstract: | We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years. |
| Keywords: | Return/volatility spillover China related stock index High-frequency data Intraday periodicity |
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