Net Transmitter of Stock Market Volatility and Safe Haven for Portfolio Investors in the Asian Dragons

Cheng-Wen Lee, Shu-Hui Chen, Andrian Dolfriandra Huruta, Christine Dewi and Abbott Po Shun Chen ()
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Cheng-Wen Lee: Department of International Business, Chung Yuan Christian University, 200 Zhong Bei Rd., Taoyuan 32023, Taiwan
Shu-Hui Chen: PhD Program in Business, Chung Yuan Christian University, 200 Zhong Bei Rd., Taoyuan 32023, Taiwan
Andrian Dolfriandra Huruta: Department of Economics, Satya Wacana Christian University, 52-60 Diponegoro Rd., Salatiga City 50711, Indonesia
Christine Dewi: Department of Information Technology, Satya Wacana Christian University, 52-60 Diponegoro Rd., Salatiga City 50711, Indonesia
Abbott Po Shun Chen: Department of Marketing and Logistics Management, Chaoyang University of Technology, Taichung City 413310, Taiwan

Economies, 2022, vol. 10, issue 11, 1-14

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.

Keywords: spillover effects; return; volatility; Asian Dragons; GARCH–ARMA (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2022
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