When you have a page test.js in /pages, only changes to that file will be hot-reloaded.
If you have a file child.js and load this from test.js, any changes to child.js will not be hot reloaded.
test.js
import React from 'react'
import Child from './child'
export default () => <div>hello <Child /></div>
child.js
import React from 'react'
export default () => <div>world</div>