Skip to main content

Table 11 Robustness check (April 16, 2013, to June 30, 2018)

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 0.070** (2.197) − 0.181*** (− 5.731) 0.041 (1.384)
  γi, 12 0.222*** (5.985) 3.531 × 10− 4 (− 0.014) 0.251*** (5.701)
  γi, 21 5.226 × 10− 3 (0.263) − 0.035 (− 1.606) −0.011 (− 0.752)
  γi, 22 −0.079** (− 2.505) −0.077*** (− 2.601) −0.081** (− 2.405)
Variance equation
  ai, 12 −0.095*** (− 3.528) −0.033 (− 1.231) −0.059*** (− 3.435)
  ai, 21 0.132*** (4.207) 5.452 × 10− 4 (0.025) − 0.105*** (− 2.620)
  bi, 12 6.751 × 10− 3 (0.773) 5.076 × 10− 3 (0.713) 0.014*** (2.663)
  bi, 21 −0.040* (− 1.876) 0.015 (1.151) − 9.131 × 10− 3 (− 0.412)
  di, 12 −0.099*** (− 3.183) 0.101*** (3.361) − 0.062*** (− 2.783)
  di, 21 −2.427 × 10− 4 (5.140 × 10− 3) −0.011 (− 0.332) −0.022 (− 0.385)
Panel B: Test of volatility spillover effects between two countries
Volatility spillovers
  The US to China
(ai, 21 = bi, 21 = di, 21 = 0)
6.632*** [0.000] 0.724 [0.537] 2.487* [0.059]
  China to the US
(ai, 12 = bi, 12 = di, 12 = 0)
8.730** [0.000] 5.199*** [0.001] 8.827*** [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