タニザキ　ヒサシ   Hisashi Tanizaki   谷崎　久志    所属   追手門学院大学  理工学部 数理・データサイエンス学科    職種   教授
言語種別	英語
発行・発表の年月	2004
形態種別	外国学会誌（First author）
査読	査読あり
標題	On Asymmetry, Holiday and Day-of-the-Week Effects in Volatility of Daily Stock Returns: The Case of Japan
執筆形態	単著
掲載誌名	Journal of the Japan Statistical Society
掲載区分	国内
出版社・発行元	The Japan Statistical Society
巻・号・頁	Vol.34 No.2(2),pp.129-152
担当区分	筆頭著者,最終著者,責任著者
著者・共著者	Hisashi Tanizaki
概要	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.
DOI	10.14490/jjss.34.129
ISSN	0389-5602
NAID	110003161357
PermalinkURL	http://id.ndl.go.jp/bib/7208446
researchmap用URL	http://id.nii.ac.jp/1141/00022940/