Japanese Journal of Monetary and Financial Economics
Online ISSN : 2187-560X
Invited article
Are Chinese Stock Investors Watching Tokyo? International Linkage of Stock Prices Using Intraday High-Frequency Data
Yoshiro TsutsuiKenjiro Hirayama
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2013 年 1 巻 1 号 p. 37-57

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Intraday minute-by-minute data of Tokyo and Shanghai stock exchanges from January 7, 2008, to January 23, 2009, are analyzed to investigate the interaction between the Japanese and Chinese stock markets. We focus on two windows of time each day during which the two stock exchanges trade shares simultaneously, and specify appropriate lags in vector autoregression (VAR) estimations. Granger causality tests, variance decompositions, and impulse response functions show that, while Tokyo is impacted by Chinese stock price movements, China is relatively isolated. This implies that investors in Japan are more internationally oriented and alert to foreign markets than those in China.

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© Japan Society of Monetary Economics
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