Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - Graduate School of Economics, Osaka University - 2012
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)....