Monitoring the Performance of Dividend ETFs: The Study of the Spillover and Leverage Effects
The dividend payout policy is calculated as one of the crucial financial decisions, and shareholder interests and the potential growth of a company may be influenced by dividend payments. The purpose of this analysis is to recognise the presence of spillover and leverage impact of high yield and low yield dividend ETF returns and return volatility on the monitoring of market price indices and vice versa. Authors use the Generalized Autoregressive Conditional Heteroscedasticity-in-Mean-Autoregressive Moving Average (GARCH-M-ARMA) and the Autoregressive Conditional Heteroscedasticity-in-Mean Autoregressive Moving Average (EGARCH-M-ARMA) Exponentially Generalized. The six ETFs listed in the etfdb.com database’s Top 100 ETFs and their underlying indices are chosen to represent the category of high and low dividend yield ETFs. The results show that in a group of low yield dividend ETFs the spillover effect on return is more prevalent, whereas in a group of high yield dividend ETFs the spillover effect on return volatility is more prevalent. In the case of the leverage effect, the negative asymmetric volatility effect is more likely to arise when considering the positive asymmetric volatility effect in all ETFs and in the market index. This study offered a summary of the relationship between return and risk management through an investment decision based on Exchange-Traded Funds dividend yield (ETFs). Some limitations remain, however, such as the identification of high and low dividend ETFs, which are still very easy. By applying some crucial approach to the yield calculation and description of the ETF, future researchers will enhance it.
Author (s) Details
Dr. Dang Trung Kien
Faculty of Business Administration, Thai Nguyen University of Economics and Business Administration, Vietnam.
Prof. Jo-Hui Chen
Department of Finance, Chung Yuan Christian University, Taiwan.
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