EconPapers    
Economics at your fingertips  
 

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 (1) Track citations by RSS feed

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

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 Dana Niculescu ().

 
Page updated 2019-04-10
Handle: RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248