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Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence

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  • Maderitsch, R.

Abstract

This article performs a long-term investigation of information transmission between stock markets in Hong Kong, Europe and the US. The particular focus is on the time- and state-dependence of return spillovers and autocorrelations as well as the related potential deviations from informational efficiency. We use high-frequency data for the Hang Seng, the Euro Stoxx 50 and the S&P 500 Index from 2000 to 2011 and conduct Granger causality inference based upon non-overlapping intraday returns. Results from structural break tests suggest that the process of information transmission is structurally stable over time. Moving window regressions, however, reveal short-lived temporary deviations from informational efficiency in the form of weak, but significant spillovers and return autocorrelations. Most pronounced are temporary negative spillovers from the US to Hong Kong as well as temporary positive spillovers from Europe to the US. Threshold model estimations finally indicate that spillovers to the European and the US markets are only significant in the state of high realized volatility. Spillovers to Hong Kong, however, tend to be significant in the state of low realized volatility.

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  • Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
    • Handle: RePEc:eee:pacfin:v:35:y:2015:i:pa:p:13-36
    DOI: 10.1016/j.pacfin.2014.07.006
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    2. Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
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    More about this item

    Keywords

    Spillovers; Informational efficiency; Structural breaks; Threshold regression; State-dependence;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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