Asymmetric risk transmission effect of cross-listing stocks between mainland and Hong Kong stock markets based on MF-DCCA method

Cao Guangxi and Ling Zhou

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: With the implementation of “Shanghai–Hong Kong Stock Connect” and “Shenzhen–Hong Kong Stock Connect,” the mainland and Hong Kong stock markets are becoming more closely linked. Based on the A+H cross-listed A-share and H-share market indices, this study employs asymmetric multifractal cross-correlation methods to analyze the asymmetric cross-correlation between the A-share and H-share markets from diverse perspectives of different ups and downs and various conduction directions with 79 sample stocks from January 1 a=2004 to May 26, 2017. Empirical results show that the A+H shares have long memory in different trends, which is stronger in the downward trend of stock price. It indicates that regardless of which market with A+H shares showing a downward trend are on, driving the future on the local market and the corresponding cross-listed market show a downward trend is easier than driving the rising trend. In addition, a bidirectional risk conduction effect exists between A and H shares, and the A-share market has a strong transmission effect on the H-share market.

Keywords: A+H cross-listing; Asymmetric MF-DCCA; Long memory; Risk conduction (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119303413
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:526:y:2019:i:c:s0378437119303413

DOI: 10.1016/j.physa.2019.03.106

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().