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Discussion Papers In Economics And Business. 2017, 17-01, p. 1-45

Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

text

2017-01

http://www2.econ.osaka-u.ac.jp/library/global/dp/1701.pdf

This study provides evidence that international stock investors’ transactions are a cause of stock market comovements. 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.

60301

Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

2017-01

Discussion Papers In Economics And Business

17-01

1

45

https://hdl.handle.net/11094/60301

http://www2.econ.osaka-u.ac.jp/library/global/dp/1701.pdf