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Frontiers of Business Research in China

Table 14 Stock connects and spillover effects

From: Half-day trading and spillovers

 

Time-varying conditional correlation between

the daily returns of CSI300 and SPX (Corr)

Launch

1.097 × 10− 3*** (1.993 × 10− 4)

  

Northbound Capital volume (Flow)

 

1.341 × 10− 4** (6.550 × 10− 5)

 

Northbound Capital volatility (Vol)

  

9.950 × 10−5***s (1.640 × 10− 5)

R2

0.012

0.003

0.029

Observations

2406

1241

1241

  1. Notes. This table reports three regressions corresponding to Eqs. (9), (10) and (11). Row 1 (Eq. (9)) represents the regression of the time-varying conditional correlation between the daily returns of CSI300 and SPX on a dummy variable Launch. The dummy variable Launch is 1 when t is after November 17, 2014, the time when Shanghai-Hong Kong Stock Connect was first launched; otherwise, it is 0. Row 2 (Eq. (10)) stands for the regression of the time-varying conditional correlation between the daily returns of CSI300 and SPX on the absolute value of the daily net flow of the Northbound Capital (Flow), which is denoted in RMB10 billion. Row 3 (Eq. (11)) stands for the regression of the time-varying conditional correlation between the daily returns of CSI300 and SPX on the monthly sample variance of the daily net flow of the Northbound Capital (Vol). We download the required data from the Wind database. The sample period of Eq. (9) spans from November 17, 2014, to March 31, 2020. The sample period of Eqs. (10) and (11) spans from January 1, 2010, to March 31, 2020. Standard errors are reported in parentheses. One, two, and three asterisks (*) indicate the t-values are significant at the 0.1, 0.05, and 0.01 level, respectively
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