Table 8.

The result of the EGARCH(1,1)-M model for subsamples.

	Volume: Market trading volume		Volume: Day trading volume
	Period 1	Period 2	Period 1	Period 2
${\beta }_0$	−0.0358	0.1185*	0.0094	0.4135***
${\beta }_{R1}$	−0.0360	0.0266	0.0315	0.0772
${\beta }_{R2}$	−0.0666*	−0.0354	−0.0376	0.0561
${\beta }_h$	−0.0242	0.1163*	0.0362	0.3618***
$c_0$	−0.0272	−0.4001***	−0.0519**	−0.3935***
$a$	0.0190	0.2097***	0.0487*	0.1976***
$b$	0.9765***	0.7843***	0.9768***	0.7569***
$d$	−0.1349***	−0.1957***	−0.0983***	−0.1885***
$\omega$	0.0355	0.0287***	0.0104***	0.0159***
Log-likelihood function	−556.4996	−415.0759	−600.3160	−438.8759
Model diagnosis
Ljung-Box Q(10)	6.2560	9.3240	5.6067	7.6105
McLeod-Li(10)	6.6624	8.9193	6.3981	10.0905

Note: Same Note shown in Table 3. Two sub-periods include period 1 before the relaxation (i.e, Jan. 2014–Jan. 2016) and period 2 after relaxation (Feb. 2016–Dec. 2017).