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Table 6 Bivariate GARCH Model Results

From: The impact of reporting frequency on the information quality of share price: evidence from Chinese state-owned enterprises

 

D = 1 after 2002

D = 1 after 2008

 

(1) R a

(2) R h

(3) R a

(4) R h

Constant (Return)

0.073 (0.140)

0.006 (0.921)

0.098*** (0.000)

0.129*** (0.000)

D

−0.014 (0.802)

0.091 (0.174)

−0.071* (0.085)

− 0.077* (0.084)

AR(1)

−0.006 (0.607)

0.069*** (0.000)

−0.005 (0.716)

0.070*** (0.000)

Constant (Variance)

0.042*** (0.000)

0.058*** (0.000)

0.025*** (0.000)

0.031*** (0.000)

h t − 1

0.930*** (0.000)

0.880*** (0.000)

0.938*** (0.000)

0.892*** (0.000)

\( {\varepsilon}_{a,t-1}^2 \)

0.079*** (0.000)

0.011*** (0.001)

0.063*** (0.000)

0.010*** (0.000)

\( {\varepsilon}_{h,t-1}^2 \)

0.002 (0.147)

0.138*** (0.000)

0.003** (0.011)

0.116*** (0.000)

\( {\varepsilon}_{a,t-1}^2D \)

−0.032*** (0.000)

−0.002 (0.632)

−0.023*** (0.000)

0.000 (0.954)

\( {\varepsilon}_{h,t-1}^2D \)

0.000 (0.805)

−0.049*** (0.000)

0.001 (0.634)

−0.036*** (0.000)

ρ ah

0.332*** (0.000)

 

0.339*** (0.000)

 

N

5534

 

5534

 
  1. Notes. p-values are in parentheses: * p < 0.10, ** p < 0.05, *** p < 0.01