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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