\( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) | |
---|---|---|---|
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] |