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Inter- and intra-regional analysis on spillover effects across international stock markets

Chi Keung Lau and Xin Sheng

Research in International Business and Finance, 2018, vol. 46, issue C, 420-429

Abstract: This paper examines the inter- and intra-regional spillover effects across international stock markets in London, Paris, Frankfurt, Toronto, New York, Tokyo, Shanghai, Hong Kong, and Mumbai by using both symmetric and asymmetric causality tests. The obtained results show that the inter-regional spillover effect in daytime returns is stronger and more frequent than the intra-regional one. The asymmetric spillover effect is evident for price shocks originating from Asian markets. In addition, the empirical results show that the Shanghai stock market is the least integrated of all nine markets considered.

Keywords: Spillover effects; Asymmetric spillover effects; Information transmission mechanisms; Market efficiency (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:46:y:2018:i:c:p:420-429

DOI: 10.1016/j.ribaf.2018.04.013

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