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

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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.

    Original languageEnglish
    Pages (from-to)420-429
    Number of pages10
    JournalResearch in International Business and Finance
    Volume46
    DOIs
    Publication statusPublished - 12 Dec 2018

    Bibliographical note

    Publisher Copyright:
    © 2018 Elsevier B.V.

    Copyright:
    Copyright 2018 Elsevier B.V., All rights reserved.

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