Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - In: Journal of the Japanese and International Economies 35 (2015) C, pp. 23-42
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...