Inter- and intra-regional analysis on spillover effects across international stock markets

Chi Keung Lau, Xin Sheng

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper examines the inter- and intra-regional spillover effects across international stock markets in London, Paris, Frankfurt, Toronto, New York, Tokyo, Shanghai, Hong Kong, and Mumbai by using both symmetric and asymmetric causality tests. The obtained results show that the inter-regional spillover effect in daytime returns is stronger and more frequent than the intra-regional one. The asymmetric spillover effect is evident for price shocks originating from Asian markets. In addition, the empirical results show that the Shanghai stock market is the least integrated of all nine markets considered.
Original languageEnglish
Pages (from-to)420-429
Number of pages10
JournalResearch in International Business and Finance
Volume46
Early online date18 Jun 2018
DOIs
Publication statusPublished - 1 Dec 2018

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International stock markets
Spillover effects
Regional analysis
Shanghai
Hong Kong
Integrated
Asia
Tokyo
Empirical results
Causality test
Stock market

Cite this

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abstract = "This paper examines the inter- and intra-regional spillover effects across international stock markets in London, Paris, Frankfurt, Toronto, New York, Tokyo, Shanghai, Hong Kong, and Mumbai by using both symmetric and asymmetric causality tests. The obtained results show that the inter-regional spillover effect in daytime returns is stronger and more frequent than the intra-regional one. The asymmetric spillover effect is evident for price shocks originating from Asian markets. In addition, the empirical results show that the Shanghai stock market is the least integrated of all nine markets considered.",
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Inter- and intra-regional analysis on spillover effects across international stock markets. / Lau, Chi Keung; Sheng, Xin.

In: Research in International Business and Finance, Vol. 46, 01.12.2018, p. 420-429.

Research output: Contribution to journalArticle

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