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

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) mode...

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Bibliographic Details
Main Authors: Cheng-Wen Lee, Shu-Hui Chen, Andrian Dolfriandra Huruta, Christine Dewi, Abbott Po Shun Chen
Format: Article
Language:English
Published: MDPI AG 2022-11-01
Series:Economies
Subjects:
spillover effects
return
volatility
Asian Dragons
GARCH–ARMA
Online Access:https://www.mdpi.com/2227-7099/10/11/273

Internet

https://www.mdpi.com/2227-7099/10/11/273

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