Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - Graduate School of Economics, Osaka University - 2010
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...
