Multilayer Information Spillover Networks: Application to Stocks Cross-listed in Mainland China and Hong Kong

This study constructs a multilayer network framework that captures both within and across market interactions, to measure the volatility spillovers among stocks listed across both Hong Kong and Mainland Chinese exchanges. We find that: (i) From a system-level perspective, the volatility network’s total connectedness reacts notably to major events, while the leader for cross-market spillovers is not constant but shifts with time. (ii) From an individual-level perspective, cross-listed stock pairs display varying spillover influence across and within markets; however, the bidirectional spillovers between them are generally symmetric and tend to be strengthened by the introduction of inter-market connectivity policies. This research offers an innovative approach for a deeper understanding of the connectedness characteristics of cross-listed stocks and for optimizing risk management decisions.