Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
965195 | Journal of the Japanese and International Economies | 2015 | 20 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yusaku Nishimura, Yoshiro Tsutsui, Kenjiro Hirayama,