Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328573 
Year of Publication: 
2022
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 10 [Issue:] 11 [Article No.:] 273 [Year:] 2022 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided the monthly statistics (from August 1997 to December 2020). This study used a generalized autoregressive conditional heteroskedasticity-autoregressive moving average (GARCH-ARMA) model. The results showed that return spillover effects were observed in unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The TSEC Weighted Index (TWII) and the Hang Seng Index (HSI) were net stock market return transmitters to other markets, whereas the Straits Times Index (STI) and the Korean Composite Stock Price Indices (KOSPI) were net receivers. Simultaneously, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result, the KOSPI has become a safe haven for portfolio investors. Portfolio managers and overseas investors who are reviewing investment and asset allocation decisions should be aware of these facts.
Subjects: 
Asian Dragons
GARCH-ARMA
return
spillover effects
volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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