Table 5.
Means and standard deviations of logarithmic ratios of time varying information share measures at 30-min intervals, Ratios of information share measures between SSEB index and other assets.
| Oil | Bitcoin | US dollar | Corn | ||
|---|---|---|---|---|---|
| P1: July 1, 2019 – November 16, 2019 | |||||
| CS ratio | Mean | 0.38 | 1.854 | −0.71 | −0.509 |
| STD | 1.908 | 1.588 | 1.526 | 1.717 | |
| IS ratio | Mean | −1.739 | −0.179 | 0.518 | −0.177 |
| STD | 3.221 | 2.697 | 3.045 | 2.204 | |
| ILS ratio | Mean | −4.238 | −4.067 | 2.456 | 0.664 |
| STD | 2.744 | 2.276 | 3.064 | 1.438 | |
| P2: November 17, 2019 – December 30, 2019 | |||||
| CS ratio | Mean | −0.885 | 0.32 | −0.777 | −1.138 |
| STD | 1.458 | 1.918 | 1.522 | 1.415 | |
| IS ratio | Mean | −2.376 | −1.88 | 1.049 | −0.582 |
| STD | 2.324 | 3.007 | 2.741 | 2.006 | |
| ILS ratio | Mean | −2.981 | −4.399 | 3.652 | 1.111 |
| STD | 1.864 | 2.324 | 2.479 | 1.454 | |
| P3: December 31, 2019 – April 10, 2020 | |||||
| CS ratio | Mean | −0.275 | 0.989 | −1.8 | −0.845 |
| STD | 1.367 | 1.356 | 1.669 | 1.371 | |
| IS ratio | Mean | −1.917 | −1.153 | −1.072 | −0.127 |
| STD | 2.43 | 2.436 | 2.908 | 1.816 | |
| ILS ratio | Mean | −3.284 | −4.284 | 1.457 | 1.436 |
| STD | 2.18 | 2.22 | 2.569 | 1.105 | |
| Changes in means between sub-periods | |||||
| Means in P2 minus Means in P1 | |||||
| CS ratio | Diff. | −1.265 | −1.534 | −0.067 | −0.629 |
| F-stat | 150.441⁎⁎⁎ | 211.594⁎⁎⁎ | 35.509⁎⁎⁎ | 50.557⁎⁎⁎ | |
| IS ratio | Diff. | −0.637 | −1.701 | 0.531 | −0.405 |
| F-stat | 95.603⁎⁎⁎ | 127.562⁎⁎⁎ | 120.847⁎⁎⁎ | 130.368⁎⁎⁎ | |
| ILS ratio | Diff. | 1.257 | −0.332 | 1.196 | 0.447 |
| F-stat | 271.111⁎⁎⁎ | 126.741⁎⁎⁎ | 188.183⁎⁎⁎ | 179.073⁎⁎⁎ | |
| Means in P3 minus Means in P2 | |||||
| CS ratio | Diff. | 0.61 | 0.669 | −1.023 | 0.293 |
| F-stat | 96.832⁎⁎⁎ | 184.042⁎⁎⁎ | 92.172⁎⁎⁎ | 56.733⁎⁎⁎ | |
| IS ratio | Diff. | 0.459 | 0.727 | −2.121 | 0.455 |
| F-stat | 48.089⁎⁎⁎ | 137.220⁎⁎⁎ | 195.538⁎⁎⁎ | 79.335⁎⁎⁎ | |
| ILS ratio | Diff. | −0.303 | 0.115 | −2.195 | 0.325 |
| F-stat | 91.666⁎⁎⁎ | 87.623⁎⁎⁎ | 123.523⁎⁎⁎ | 105.200⁎⁎⁎ | |
Note: Logarithmic ratios of information share measures are calculated as the natural logarithms of ratios of time varying information share measures of Shanghai Stock Exchange A and B-share indices over the other five assets. CS, component share; IS, information share; ILS, information leadership share. Time varying information share measures are computed based on time varying error correction coefficients from a rolling window procedure as well as the variance-covariance matrix of innovations derived from a two-state regime switching model. SSEA index is the Shanghai Stock Exchange A-share index; SSEB index is the Shanghai Stock Exchange B-share index. STD is standard deviation. Diff. represents the result of subtraction in means. F-stat denotes the F test statistic for the hypothesis testing on equality between means of different Sub-periods. ⁎⁎⁎ denotes significance at the 1% level.