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

Author

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  • Yusaku Nishimura

    (Institute of International Economy, University of International Business and Economics)

  • Yoshiro Tsutsui

    (Faculty of Economics, Konan University)

  • Kenjiro Hirayama

    (School of Economics, Kwansei Gakuin University)

Abstract

This study provides evidence that international stock investors f 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.

Suggested Citation

  • Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2017. "Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets," Discussion Papers in Economics and Business 17-01, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:1701
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    2. Belhassine, Olfa, 2020. "Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises," Research in International Business and Finance, Elsevier, vol. 53(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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