Table 15.
Logarithmic ratios of static 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 | −0.021 | 2.446 | −0.625 | −0.338 | |
| IS ratio | −2.701 | 0.828 | 0.613 | −0.11 | |
| ILS ratio | −5.361 | −3.235 | 2.476 | 0.457 | |
| P2: November 17, 2019 – December 30, 2019 | |||||
| CS ratio | −1.056 | −0.993 | −1.748 | −1.446 | |
| IS ratio | −2.629 | −4.461 | −0.609 | −1.142 | |
| ILS ratio | −3.146 | −6.936 | 2.277 | 0.608 | |
| P3: December 31, 2019 – April 10, 2020 | |||||
| CS ratio | 0.682 | 1.396 | −0.236 | 0.112 | |
| IS ratio | −0.022 | −0.476 | 2.097 | 1.41 | |
| ILS ratio | −1.408 | −3.744 | 4.667 | 2.594 | |
| Changes in ratios between sub-periods | |||||
| Ratios in P2 minus Ratios in P1 | |||||
| CS ratio | Diff. | −1.035 | −3.439 | −1.123 | −1.108 |
| IS ratio | Diff. | 0.072 | −5.289 | −1.222 | −1.032 |
| ILS ratio | Diff. | 2.215 | −3.701 | −0.199 | 0.151 |
| Ratios in P3 minus Ratios in P2 | |||||
| CS ratio | Diff. | 1.738 | 2.389 | 1.512 | 1.558 |
| IS ratio | Diff. | 2.607 | 3.985 | 2.706 | 2.552 |
| ILS ratio | Diff. | 1.738 | 3.192 | 2.39 | 1.986 |
Note: Logarithmic ratios of information share measures are calculated as the natural logarithms of ratios of static 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. Static information share measures are calculated based on estimates of the VECM at each Sub-period. SSEA index is the Shanghai Stock Exchange A-share index; SSEB index is the Shanghai Stock Exchange B-share index. Diff. represents the result of subtraction in ratios.