Skip to main content

Table 12 Robustness check (July 1, 2018, to December 31, 2019)

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 −0.028 (− 0.552) −0.194*** (− 4.011) −0.046 (− 0.934)
  γi, 12 0.359*** (5.928) − 0.100*** (− 3.323) 0.317*** (4.275)
  γi, 21 5.627 × 10− 3 (− 0.166) −0.012 (− 0.201) 8.246 × 10− 3 (0.280)
  γi, 22 −0.075 (− 1.250) −0.045 (− 0.765) −0.063 (− 1.014)
Variance equation
  ai, 12 0.140** (2.382) 0.056 (0.975) −0.042 (− 1.168)
  ai, 21 0.058 (0.332) − 0.015 (− 0.483) −0.100 (− 1.485)
  bi, 12 −0.169** (− 2.329) 0.046 (0.328) 0.024*** (3.080)
  bi, 21 0.234 (1.569) − 0.045 (− 0.529) −0.044** (− 1.985)
  di, 12 0.119* (1.931) 0.415*** (5.666) 0.191*** (6.026)
  di, 21 0.273** (2.290) 0.046 (1.303) −0.174** (− 2.156)
Panel B: Test of volatility spillover effects between two countries
Volatility spillovers
  The US to China
(ai, 21 = bi, 21 = di, 21 = 0)
3.540** [0.014] 0.760* [0.516] 2.784** [0.039]
  China to the US
(ai, 12 = bi, 12 = di, 12 = 0)
16.011*** [0.000] 11.737*** [0.000] 19.234*** [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