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The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects

In this paper, we use high‐frequency data to explore the effects of return and volatility spillover during periods in which trading hours in China and Japan overlap. Specifically, we utilize 5‐min returns to estimate fractionally integrated asymmetric power autoregressive conditional... Full description

1st Person: Nishimura, Yusaku
Additional Persons: Tsutsui, Yoshiro; Hirayama, Kenjiro
Source: in The Japanese economic review : the journal of the Japanese Economic Association Vol. 67, No. 3 (2016), p. 280-294
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Type of Publication: Article
Language: English
Published: 2016
Online: Volltext
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