Skip to main content

Table 10 Robustness check (January 1, 2010, to April 15, 2013)

From: Half-day trading and spillovers

  \( {R}_{m,t}^c \) \( {R}_{a,t}^c \) \( {R}_{d,t}^c \)
Panel A: Asymmetric BEKK-GARCH model estimation results
Mean equation
  γi, 11 −0.061* (− 1.689) −0.107*** (− 2.894) −0.066* (− 1.784)
  γi, 12 0.298*** (9.377) − 0.026 (− 1.046) 0.280*** (6.224)
  γi, 21 0.028 (− 0.888) 0.060 (1.626) 0.011 (0.476)
  γi, 22 6.856 × 10− 3 (− 0.019) −0.011 (− 0.280) −0.012 (− 0.292)
Variance equation
  ai, 12 −0.054 (− 1.087) 0.056 (1.168) 0.019 (0.432)
  ai, 21 0.025 (0.366) − 0.024 (− 0.909) 5.167 × 10− 3 (0.053)
  bi, 12 0.098*** (2.950) 0.023 (1.093) 0.075*** (3.614)
  bi, 21 −0.035** (− 2.475) −0.016* (− 1.926) −0.056*** (− 2.659)
  di, 12 0.041 (0.817) − 0.025 (− 0.502) 0.035 (0.859)
  di, 21 0.168*** (2.988) − 0.054** (− 2.097) 0.248*** (3.168)
Panel B: Test of volatility spillover effects between two countries
Volatility spillovers
  The US to China
(ai, 21 = bi, 21 = di, 21 = 0)
3.582*** [0.013] 2.268* [0.078] 4.037*** [0.007]
  China to the US
(ai, 12 = bi, 12 = di, 12 = 0)
4.742*** [0.003] 0.658 [0.578] 5.730*** [0.000]
  1. Notes. Panel A reports the estimation results of the asymmetric BEKK-GARCH model. Panel B reports the F-test of the volatility spillover effects based on the estimation results of Panel A
  2. One, two and three asterisks (*), respectively, indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level