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

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

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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 rod seat adjustment 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 Coat Conditioners who are reviewing investment and asset allocation decisions should be aware of these facts.