Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets
Yusaku Nishimura,
Yoshiro Tsutsui () and
Kenjiro Hirayama ()
Economic Modelling, 2018, vol. 69, issue C, 237-248
Abstract:
This study provides evidence that international stock investors’ transactions are a cause of stock market spillovers. We analyze return and volatility spillovers between eight major stock markets and stocks cross-listed on an accessible market (H-shares in Hong Kong) and an inaccessible market (A-shares in mainland China) by applying the spillover indexes proposed by Diebold and Yilmaz (2012, 2014) to those markets. Results suggest that spillovers of both return and volatility are greater in an accessible market than in an inaccessible one. We also find that spillover effects intensify as openness of a stock market increases.
Keywords: Investor-induced hypothesis; Fundamentals-based hypothesis; Cross-listed stocks; Spillover index; Inaccessible market (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999317307599
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248
DOI: 10.1016/j.econmod.2017.09.023
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().