Author(s)

Jo-Hui Chen¹, Dang Trung Kien²

¹Department of Finance, Chung Yuan Christian University, Chungli.
²College of Business, Chung Yuan Christian University, Chungli.

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.

Dividend ETFs, Spillover Effect, Leverage Effect, GARCH, EGARCH

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.