The Performance of Dividend ETFs: The Study of the Spillover and Leverage Effects ()
ABSTRACT
The objective of this study is to identify the existence
of spillover and leverage effects from returns and return volatilities of high
yield and low yield dividend ETFs on tracing market stock indices, and vice
versa. The Generalized Autoregressive
Conditional Heteroscedasticity-in-Mean-Autoregressive Moving Average
(GARCH-M-ARMA) and the Exponentially Generalized Autoregressive Conditional
Heteroscedasticity-in Mean Autoregressive Moving Average (EGARCH-M-ARMA) are
utilized by authors. The six ETFs, recognized in Top 100 ETFs of etfdb.com
database, with their underlying indices are selected to represent the high and
low dividend yield ETFs group. The findings show that the spillover effect in
return is more happening in a group of low yield dividend ETFs, while the
spillover effect on return volatilities is more dominant in a group of high
yield dividend ETFs. In the case of the leverage effect, it exists in all ETFs
and the stock Index, in which the negative asymmetric volatility effect more
happens when
comparing the positive asymmetric volatility effect.
Share and Cite:
Chen, J. and Kien, D. (2019) The Performance of Dividend ETFs: The Study of the Spillover and Leverage Effects.
Theoretical Economics Letters,
9, 499-510. doi:
10.4236/tel.2019.93035.
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