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Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets

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  • Nishimura, Yusaku
  • Tsutsui, Yoshiro
  • Hirayama, Kenjiro

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.

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  • Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
  • Handle: RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248
    DOI: 10.1016/j.econmod.2017.09.023
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    2. Fengming Qin & Junru Zhang & Zhaoyong Zhang, 2018. "RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan," Risks, MDPI, Open Access Journal, vol. 6(4), pages 1-26, October.
    3. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    4. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 9(1), pages 1-19, January.
    5. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).

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    More about this item

    Keywords

    Investor-induced hypothesis; Fundamentals-based hypothesis; Cross-listed stocks; Spillover index; Inaccessible market;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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