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Table 13 Robustness check (January 1, 2020, to March 31, 2020)

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

−0.030 (− 0.323)

4.765 × 10− 6 (− 2.856 × 10− 5)

− 0.242* (− 1.811)

  γi, 12

0.219*** (5.241)

− 0.080*** (− 2.893)

0.145** (2.351)

  γi, 21

−0.064 (− 0.740)

−0.110 (− 0.995)

−0.136*** (− 2.634)

  γi, 22

−0.303*** (− 2.763)

−0.461*** (− 7.004)

−0.399*** (− 8.016)

Variance equation

  ai, 12

−0.153 (− 1.323)

0.294 (1.015)

2.786 × 10− 3 (0.041)

  ai, 21

−0.120 (− 1.588)

0.130** (2.015)

0.157 (0.838)

  bi, 12

0.022 (0.497)

0.513*** (3.819)

−0.178 (− 1.607)

  bi, 21

2.823 × 10− 3 (0.065)

0.048** (2.006)

0.155*** (2.811)

  di, 12

0.227* (1.887)

− 0.146 (− 0.343)

−0.040 (− 0.619)

  di, 21

−0.143 (− 1.145)

−0.040 (− 0.325)

5.360 × 10− 3 (− 0.023)

Panel B: Test of volatility spillover effects between two countries

Volatility spillovers

  The US to China

(ai, 21 = bi, 21 = di, 21 = 0)

2.749** [0.041]

3.950** [0.008]

3.866*** [0.009]

  China to the US

(ai, 12 = bi, 12 = di, 12 = 0)

2.407* [0.065]

5.454*** [0.001]

0.986 [0.398]

  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