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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