In this paper we analyze return and volatility spillovers during overlapping trading hours between China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intraday high-frequency data. We first adjusted the 5-min. returns for intraday periodicity with Flexible Fourier Form (FFF)....

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...

This paper examines whether the stock split bubble in Japan burst by not only reformed system, but also Livedoor-shock. It is difficult to identify the effects of the both events, because they occurred in the same month (January, 2006). Thus, I identify both effects by dividing the samples into...

This paper analyzes intraday volatility of the stock markets of mainland China, Hong Kong, Japan, and the US for the period of two months around the Lehman crisis. Specifically, dividing the observation period from July 15 to November 28, 2008 into two sub-periods at the failure of Lehman...

This paper examines how the informational efficiency of the Japanese stock markets changed with the introduction of ETFs(Exchange-Traded Funds) by looking at the arbitrage relationships between cash and futures of the Nikkei225. This paper is unique in that it uses tick data, which enable me to...

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

We assess the IMF supported program on the structural reforms after the Asian crisis in 1997 in terms of the before-after, with-without and event study approaches with applying a time varying parameter model to the nine Asian stock markets. All the supported countries except for Thailand (...

This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index. It also examines the stochastic dynamics of the implied volatility index and its relationship with realized volatility in both...

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, there existed an older precedent; the Dojima Rice Market established in 1730 in Osaka. The past literature on Dojima has made it clear that Dojima had well-established trading...