Do international Investors Cause Stock Market Spillovers? Comparing Responses of Cross-listed Stocks between Accessible and Inaccessible Markets (with Yoshiro Tsutsui and Kenjiro Hirayama)

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.

https://www.sciencedirect.com/science/article/pii/S0264999317307599