• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms. Fiona Chu
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HOME > Archive > 2015 > Volume 3 Number 2 (Feb. 2015) >
JOEBM 2015 Vol.3(2): 257-262 ISSN: 2301-3567
DOI: 10.7763/JOEBM.2015.V3.190

Holiday Effect of East Asian Markets Reciprocally

Beenish Bashir and Shumaila Zeb

Abstract—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.

Index Terms—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: beenish128@hotmail.com).

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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.

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