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

Lau, Marco C. K. and Sheng, Xin (2018) Inter- and intra-regional analysis on spillover effects across international stock markets. Research in International Business and Finance, 46. pp. 420-429. ISSN 0275-5319

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Official URL: https://doi.org/10.1016/j.ribaf.2018.04.013

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.

Item Type: Journal Article
Keywords: Spillover effects, Asymmetric spillover effects, Information transmission mechanisms, Market efficiency
Faculty: ARCHIVED Lord Ashcroft International Business School (until September 2018)
Depositing User: Lisa Blanshard
Date Deposited: 06 Apr 2020 15:33
Last Modified: 06 Apr 2020 15:33
URI: http://arro.anglia.ac.uk/id/eprint/705392

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