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Frontiers of Business Research in China

Table 7 Descriptive statistics of time-varying conditional correlations

From: Half-day trading and spillovers

 

\( {R}_{m,t}^c \)

\( {R}_{a,t}^c \)

\( {R}_{d,t}^c \)

Mean

0.140

0.068

0.138

Std

4.540 × 10− 7

0.040

4.911 × 10− 3

Min

0.140

−0.017

0.124

Max

0.140

0.146

0.1512

  1. Notes. This table reports the summary statistics of the time-varying correlations computed by the DCC-GARCH model. \( {R}_{m,t}^c \), \( {R}_{a,t}^c \), and \( {R}_{d,t}^c \) represent the time-varying conditional correlations between \( {R}_t^{s\&p} \) and \( {R}_{m,t}^c \), \( {R}_{a,t}^c \), and \( {R}_{d,t}^c \), respectively
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