Spillover Effect of Chinese Cross-Listed Companies across Shanghai, Hong Kong and US Markets

Bijing Li, Ronghua Yi, Roger Su


This paper assesses the spillover effect of returns of ten Chinese cross-listed equities which are traded in Shanghai, Hong Kong and US markets simultaneously. We find a strong unidirectional spillover effect from US market to Shanghai market, however, a significant two-way influence exists between Hong Kong and US markets. When we use VAR modeling to exam the same-day effect, we find evidence that the effect of same-day return occurs from the Shanghai to Hong Kong market and from the Hong Kong to US market; however, there is no such effect from the Shanghai to US market.

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DOI: https://doi.org/10.5539/ijef.v3n6p135

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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)  Email: ijef@ccsenet.org

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