کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
965195 | 1479202 | 2015 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
ترجمه فارسی عنوان
بازده روزانه و نوسانات از چینی به بازار سهام ژاپن
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Japanese and International Economies - Volume 35, March 2015, Pages 23-42
Journal: Journal of the Japanese and International Economies - Volume 35, March 2015, Pages 23-42
نویسندگان
Yusaku Nishimura, Yoshiro Tsutsui, Kenjiro Hirayama,