Strong electron current density exits in hollow cathodes, but former numerical studies tend to only consider its electrostatic aspect and ignore its electromagnetic nature, due to the complex physics and the large computational cost. Among all the electromagnetic effects in hollow cathodes, the azimuthal magnetic field induced by the electron current plays the key role. In this work, for the first time fully kinetic particle-in-cell (PIC) simulations are conducted to study the induced magnetic field and relevant electromagnetic effects in hollow cathodes. It is found that the electron-ion instability could cause a significant drop of the induced magnetic field in a fraction of nanosecond. When the magnitude of the induced magnetic field is strong, its perturbation would disturbs the electron current density, and these mechanisms can only be captured by electromagnetic simulations.