Segment Stock Market, Foreign Investors, and Cross-Correlation: Evidence from MF-DCCA and Spillover Index
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-09-23
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
Employing the tools of multifractal detrended cross-correlation analysis (MF-DCCA) and Diebold–Yilmaz spillover index (D.Y.
spillover index), we examine the effect that the foreign investors have on the cross-correlations between the two-segment stock markets, that are the accessible and the inaccessible stock markets, and the other ten respective stock markets.
The shares cross-listed by the same corporates on both the A-share and H-share stock markets of China serve as the best sample to compile the two stock indices, which stands for the inaccessible stock market (AHA) and the accessible stock market (AHH), respectively.
Empirical results show that the cross-correlations between the two-segment stock markets and the other ten pairs are multifractal, the multifractal strength of cross-correlations is stronger in AHH than AHA, and the intensified growth of the multifractal cross-correlations in AHA can be seen as the increasing of the openness in the inaccessible market.
The empirical result of D.Y.
spillover index is consistent with the multifractal analysis above, and another interesting finding is that among the selected markets, the three markets with the strongest spillover effects with AHA and AHH are Taiwan, South Korea, and Singapore, respectively, and the weakest one is Australia during the sample scenarios.
American Psychological Association (APA)
Xu, Nan& Li, Songsong. 2020. Segment Stock Market, Foreign Investors, and Cross-Correlation: Evidence from MF-DCCA and Spillover Index. Complexity،Vol. 2020, no. 2020, pp.1-15.
https://search.emarefa.net/detail/BIM-1142572
Modern Language Association (MLA)
Xu, Nan& Li, Songsong. Segment Stock Market, Foreign Investors, and Cross-Correlation: Evidence from MF-DCCA and Spillover Index. Complexity No. 2020 (2020), pp.1-15.
https://search.emarefa.net/detail/BIM-1142572
American Medical Association (AMA)
Xu, Nan& Li, Songsong. Segment Stock Market, Foreign Investors, and Cross-Correlation: Evidence from MF-DCCA and Spillover Index. Complexity. 2020. Vol. 2020, no. 2020, pp.1-15.
https://search.emarefa.net/detail/BIM-1142572
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142572