Mean and volatility spillover in Asian economies: Evidence from trade war

Abstract

This study aims to assess the mean and volatility spillover due to trade war between US and China on the Asian markets using GARCH, evidencing that portfolio opportunity exists for the investors in these markets. These markets may offer diversification benefits to investors who fear the negative ramifications of stock markets of the economies in US and China. The study creates a composite variable to test the impact of trade war. The composition of the variable is based on Bilateral Tariffs, Trade policy and Economic policy uncertainty of US only. It means the study covers the US side only for creating a trade war variable. The findings of the study reveal no mean or volatility spillover exists. The study has implications for investors and policymakers.