Intraday and interday volatility in the Japanese stock market

Torben G. Andersen*, Tim Bollerslev, Jun Cai

*Corresponding author for this work

Research output: Contribution to journalArticle

91 Scopus citations


This paper characterizes the volatility in the Japanese stock market based on a 4-year sample of 5-min Nikkei 225 returns from 1994 through 1997. The intradaily volatility exhibits a doubly U-shaped pattern associated with the opening and closing of the separate morning and afternoon trading sessions on the Tokyo Stock Exchange. This feature is consistent with market microstructure theories that emphasize the role of private and asymmetric information in the price formation process. Meanwhile, readily identifiable Japanese macroeconomic news announcements explain little of the day-to-day variation in the volatility, confirming previous findings for US equity markets. Furthermore, by appropriately filtering out the strong intradaily periodic pattern, the high-frequency returns reveal the existence of important long-memory interdaily volatility dependencies. This supports recent results stressing the importance of exploiting high-frequency intraday asset prices in the study of long-run volatility properties of asset returns.

Original languageEnglish (US)
Pages (from-to)107-130
Number of pages24
JournalJournal of International Financial Markets, Institutions and Money
Issue number2
StatePublished - Jun 2000


  • Announcement effects
  • Arch
  • High-frequency data
  • Intraday periodicity
  • Long-memory
  • Nikkei 225

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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