. 2020 Sep 12;72:101560. doi: 10.1016/j.irfa.2020.101560

Table 2.

SSEA Two-state regime switching model (Estimation from data at 30-min intervals).

Coef.	SSEA – Oil		SSEA – Bitcoin		SSEA – US dollar		SSEA – Corn
Coef.	Reg 1 (i = 1)	Reg 2 (i = 2)	Reg 1 (i = 1)	Reg 2 (i = 2)	Reg 1 (i = 1)	Reg 2 (i = 2)	Reg 1 (i = 1)	Reg 2 (i = 2)
u_i^s	−5.78E−05	8.21E−05	1.69E−04^⁎	−0.001^⁎	8.83E−05	−4.39E−05	6.77E−05	1.32E−04
u_i^s	(0.8889)	(0.3807)	(0.0839)	(0.0648)	(0.4069)	(0.7551)	(0.4513)	(0.8608)
a_i^s	0.170	−0.084^⁎⁎⁎	−0.053^⁎⁎	0.037	−0.022	−0.105^⁎⁎	−0.078^⁎⁎	0.003
a_i^s	(0.1703)	(0.0000)	(0.0170)	(0.5734)	(0.3661)	(0.0143)	(0.0141)	(0.9898)
b_i^s	0.085^⁎⁎⁎	0.027^⁎⁎⁎	−0.006	0.060^⁎⁎⁎	−0.185^⁎⁎	0.288^⁎⁎⁎	−0.044	−0.122
b_i^s	(0.0000)	(0.0007)	(0.1598)	(0.0000)	(0.0101)	(0.0003)	(0.1981)	(0.7846)
u_i^c	−0.001	4.63E−05	−2.90E−04^⁎⁎	−0.001	1.27E−05	−9.30E−06	−5.93E−06	−1.94E−05
u_i^c	(0.6186)	(0.5990)	(0.0117)	(0.7570)	(0.2942)	(0.4148)	(0.9005)	(0.9657)
a_i^c	0.634	−0.021	−0.019	−0.390	−0.001	0.002	0.014^⁎	−0.161^⁎
a_i^c	(0.1264)	(0.2800)	(0.4583)	(0.7599)	(0.8852)	(0.5130)	(0.0780)	(0.0970)
b_i^c	−0.447^⁎⁎⁎	−8.40E−05	−0.014^⁎⁎⁎	−0.047	−0.004	−0.006	−0.032	−0.845^⁎⁎⁎
b_i^c	(0.0000)	(0.9942)	(0.0059)	(0.8092)	(0.8122)	(0.2602)	(0.1199)	(0.0002)
h_i^s	2.76E−05^⁎⁎⁎	5.94E−06^⁎⁎⁎	6.15E−06^⁎⁎⁎	2.21E−05^⁎⁎⁎	5.17E−06^⁎⁎⁎	2.13E−05^⁎⁎⁎	5.40E−06^⁎⁎⁎	6.94E−05^⁎⁎⁎
h_i^s	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0006)
γ_{i, 1}^s	−1.39E−05^⁎⁎⁎	−1.92E−06^⁎⁎⁎	−1.32E−06^⁎⁎	−1.29E−05^⁎⁎⁎	7.51E−06^⁎⁎⁎	−1.83E−05^⁎⁎⁎	−2.04E−06^⁎⁎⁎	−5.01E−05^⁎⁎
γ_{i, 1}^s	(0.0024)	(0.0031)	(0.0143)	(0.0000)	(0.0012)	(0.0000)	(0.0024)	(0.0106)
γ_{i, 2}^s	1.29E−04^⁎⁎⁎	8.33E−06^⁎⁎⁎	4.38E−05^⁎⁎⁎	4.00E−06	1.74E−05^⁎⁎⁎	4.23E−05^⁎⁎⁎	1.41E−05^⁎⁎⁎	3.00E−04
γ_{i, 2}^s	(0.0000)	(0.0000)	(0.0000)	(0.4197)	(0.0000)	(0.0000)	(0.0000)	(0.2393)
h_i^c	6.36E−04^⁎⁎⁎	5.93E−06^⁎⁎⁎	1.24E−05^⁎⁎⁎	0.002^⁎⁎⁎	5.81E−08^⁎⁎⁎	4.40E−06^⁎⁎⁎	1.51E−06^⁎⁎⁎	2.76E−05^⁎⁎⁎
h_i^c	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
γ_{i, 1}^c	−4.71E−04^⁎⁎⁎	−2.84E−06^⁎⁎⁎	−6.06E−06^⁎⁎⁎	−0.001^⁎⁎⁎	2.62E−06^⁎⁎⁎	−4.38E−06^⁎⁎⁎	−5.54E−07^⁎⁎	−1.74E−05^⁎⁎
γ_{i, 1}^c	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0314)	(0.0171)
γ_{i, 2}^c	1.86E−04	1.89E−06^⁎⁎	7.46E−06^⁎⁎⁎	0.005^⁎⁎⁎	1.37E−05^⁎⁎⁎	−4.32E−06^⁎⁎⁎	4.52E−07	9.56E−05
γ_{i, 2}^c	(0.1034)	(0.0222)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.3645)	(0.2059)
p_i	0.142^⁎	−0.033	0.097^⁎⁎⁎	0.042	0.047	−0.022	−0.026	−0.207^⁎⁎⁎
p_i	(0.0708)	(0.4275)	(0.0054)	(0.7356)	(0.2617)	(0.6989)	(0.4634)	(0.0028)
a_i	−6.877^⁎	0.703^⁎⁎⁎	1.210^⁎⁎⁎	1.046^⁎⁎⁎	2.358^⁎⁎⁎	1.277^⁎⁎	0.919^⁎⁎⁎	−1.025
a_i	(0.0810)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0104)	(0.0003)	(0.4148)
b_i	0.007^⁎⁎	4.13E−05	−3.45E−04	−0.005^⁎⁎	−0.003^⁎⁎⁎	−0.001^⁎⁎	4.16E−04	1.63E−04
b_i	(0.0465)	(0.9179)	(0.3372)	(0.0296)	(0.0000)	(0.0464)	(0.2929)	(0.7154)
Log−likelihood	9198		10,106		13,508		9446
Hansen's p−value	0.0000		0.0000		0.0000		0.0000

Note: This table reports the estimation result of the two-state regime switching model. Estimation is done for five sample pairs consisting of one Shanghai Stock Exchange A- or B-share index and one commodity asset and results are separately shown. Coef. denotes model coefficients. SSEA index is the Shanghai Stock Exchange A-share index; SSEB index is the Shanghai Stock Exchange B-share index. Hansen (1992)’s standardized likelihood ratio test is employed to test the existence of regimes and associated p-value of test statistic is shown. E stands for scientific notation. Figures in parentheses are p values of significance check. ^⁎⁎⁎, ^⁎⁎ and ^⁎ represent significance at the 1%, 5% and 10%, respectively.