Current "jumps" from one wire to the other
In short, capacitance between the two wires is your answer. 

Here's an example I faced many years ago. A friend of mine rewired his house but asked to borrow my meter before he connected ground to the pipes coming into the property. He phoned me up and said there was 115VAC measured on the unconnected earth wire and he was frightened of grounding it. (Local AC voltage was 230V and I assured him that "live" was at 230V, neutral at "0V" and the middle unconnected wire would find a voltage that was roughly halfway between the two wires (due to capacitance between conductors). He connected the earth wire and no problems.

What you are seeing is the natural effect of capacitance coupling the voltage on one wire to another in close proximity.