Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7347488 | Economic Modelling | 2018 | 12 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yusaku Nishimura, Yoshiro Tsutsui, Kenjiro Hirayama,