ON ASYMMETRY, HOLIDAY AND DAY-OF-THE-WEEK EFFECTS IN VOLATILITY OF DAILY STOCK RETURNS : THE CASE OF JAPAN
ON ASYMMETRY, HOLIDAY AND DAY-OF-THE-WEEK EFFECTS IN VOLATILITY OF DAILY STOCK RETURNS : THE CASE OF JAPAN
复制标题
DOI：
10.14490/jjss.34.129
复制
发表时间：
2004-12
期刊：
影响因子：
--
通讯作者：
Hisashi Tanizaki
中科院分区：
文献类型：
--
作者：
Hisashi Tanizaki
在本文中，我们研究日本股票收益率的波动，使用状态空间模型。利用1985年1月4日至2004年6月10日的日经225平均指数的日数据，并假设随机波动模型的噪声分量。我们检验了波动是否存在不对称性、假日效应和周内效应。此外，我们还考察了美国股票价格的变动是否会影响日本股票价格的波动，本文称之为美国股票价格变动效应（注意，这是美国股票市场引起的不对称效应）。并检验了我国是否存在从美国到日本的波动传导。结果表明，非对称性、节假日效应、美国股价波动传导效应和周二效应对日本股票收益率波动有显著影响。此外，它表明，波动性和水平在日本股票收益取决于美国股票收益。
In this paper, we investigate volatility in Japanese stock returns, using the state space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the stochastic volatility model is assumed for the noise component. We examine whether there are asymmetry, holiday and day-of-the-week effects in volatility. Moreover, we see whether U.S. stock price change influences the volatility in Japanese stock price, which is called U.S. stock price change effect in this paper (note that this is the asymmetry effect caused by U.S. stock market). It is also examined whether we have volatility transmission from U.S. to Japan. As a result, we empirically find that the asymmetry, holiday, U.S. stock price volatility transmission and Tuesday effects strongly influence the volatility in Japanese stock returns. Moreover, it is shown that both volatility and level in Japanese stock returns depend on U.S. stock returns.