—This paper reconnoitered the holiday effect of East
Asian stock markets over each other. SSE-180 index (Shanghai
Stock Exchange), NIKKIE 225 (Japan), TWII (Taiwan
Weighted Index), HSI (Hang Seng) epitomized East Asian
region. The key objective is to investigate the return effect on
East Asian stock markets coinciding with the S&P 500
(Standard and poor) holidays further the return effect on East
Asian stock markets during the trading session when there is no
trading on other East Asian stock markets. By means of
TGARCH model using daily return of East Asian Stock
Exchanges and S&P 500 from January 1, 2003 to December 31,
2012.Day-of-the- Week effect, as well as regional and
international spillovers has been considered, robust results have
been found by this study. Outcomes of this paper have
implications for international investors. It is of immense
importance for an investor to consider the holidays of the
interlinked stock markets when investing in a particular market
of a region as holidays not only affect the returns of the
portfolios but risk as well.
—Holiday effect, international spillovers,
TGARCH model, volatility.
Beenish Bashir is with the NUST Business School, National University
of Sciences and Technology, Islamabad, Pakistan (e-mail:
Cite: Beenish Bashir and Shumaila Zeb, "Holiday Effect of East Asian Markets Reciprocally," Journal of Economics, Business and Management vol. 3, no. 2, pp. 257-262, 2015.