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.
