Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data
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Cited by:
- Henryk Gurgul & Robert Syrek, 2017. "Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 87-102.
- 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.
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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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