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What jump effects are implicit in Nikkei 225 returns and the changes in the volatility index Japan?

ABSTRACT This paper investigates the lead-lag relationship and jump effect linkages between the Nikkei 225 returns and the changes in the Volatility Index Japan (hereafter VXJ). The empirical results show that the evidence regarding the market returns influences the feelings of the investors. It is found that both the jump components in investor sentiment and market returns are strong phenomena. Moreover, the results of this study also indicate that the time-varying arrival of correlated jumps is jointly determined by the volatility in the changes in the VXJ. Finally, the CBP-GARCH model can be used to examine the jump effect between Nikkei 225 returns and the changes in the VXJ.