Intraday and interday volatility in the Japanese stock market

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

  • Torben G. Andersen
  • Tim Bollerslev
  • Jun Cai

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)107-130
Journal / PublicationJournal of International Financial Markets, Institutions and Money
Volume10
Issue number2
Publication statusPublished - Jun 2000

Abstract

This paper characterizes the volatility in the Japanese stock market based on a 4-year sample of 5-min Nikkei 225 returns from 1994 through 1997. The intradaily volatility exhibits a doubly U-shaped pattern associated with the opening and closing of the separate morning and afternoon trading sessions on the Tokyo Stock Exchange. This feature is consistent with market microstructure theories that emphasize the role of private and asymmetric information in the price formation process. Meanwhile, readily identifiable Japanese macroeconomic news announcements explain little of the day-to-day variation in the volatility, confirming previous findings for US equity markets. Furthermore, by appropriately filtering out the strong intradaily periodic pattern, the high-frequency returns reveal the existence of important long-memory interdaily volatility dependencies. This supports recent results stressing the importance of exploiting high-frequency intraday asset prices in the study of long-run volatility properties of asset returns. © 2000 Elsevier Science B.V. All rights reserved.

Research Area(s)

  • Announcement effects, Arch, High-frequency data, Intraday periodicity, Long-memory, Nikkei 225

Citation Format(s)

Intraday and interday volatility in the Japanese stock market. / Andersen, Torben G.; Bollerslev, Tim; Cai, Jun.

In: Journal of International Financial Markets, Institutions and Money, Vol. 10, No. 2, 06.2000, p. 107-130.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review