The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets

This paper analyzes intraday volatility of the stock markets of mainland China, Hong Kong, Japan, and the US for the period of two months around the Lehman crisis. Specifically, dividing the observation period from July 15 to November 28, 2008 into two sub-periods at the failure of Lehman Brothers, we investigate how intraday volatility changes and whether the changes are different among the stock markets. The results reveal the followings: First, although intraday volatility rapidly increases in all the markets, the effect on Chinese market is limited. Second, after the failure, the long-memory features were strengthened further and the effect of price-down shock on the volatility was mitigated. Finally, FFF regression effectively removes the intraday periodicity of volatility for all the markets.