%0 Journal Article
%T Spillover Effect of Chinese Cross-Listed Companies across Shanghai, Hong Kong and US Markets
%A Bijing Li
%A Ronghua Yi
%A Roger Su
%J International Journal of Economics and Finance
%D 2011
%I 
%R 10.5539/ijef.v3n6p135
%X 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.
%U http://www.ccsenet.org/journal/index.php/ijef/article/view/12692