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

Table 17.

Static net spillovers of higher moments at 30-min intervals, Net spillovers from SSEB index to other assets.

		Oil	Bitcoin	US dollar	Corn
P1: July 1, 2019 – November 16, 2019
Volatility spillover		1.541^⁎⁎⁎	4.584^⁎⁎⁎	−0.160^⁎⁎	0.425^⁎⁎⁎
Volatility spillover	Wald-test	23.992	31.392	6.177	64.652
Skewness spillover		−4.420^⁎⁎⁎	−1.050^⁎⁎⁎	0.123^⁎⁎	0.065
Skewness spillover	Wald-test	388.58	114.975	4.65	0.181
Kurtosis spillover		0.112^⁎⁎⁎	−0.023^⁎⁎⁎	−0.004	0.065
Kurtosis spillover	Wald-test	89.843	71.805	0.485	0.181

P2: November 17, 2019 – December 30, 2019
Volatility spillover		0.037	3.337^⁎⁎⁎	−0.674^⁎⁎⁎	−0.121
Volatility spillover	Wald-test	0.115	35.338	16.117	1.337
Skewness spillover		−3.018^⁎⁎⁎	−0.691^⁎⁎⁎	0.124^⁎	0.078
Skewness spillover	Wald-test	101.339	37.774	3.065	0.193
Kurtosis spillover		0.016	−0.134^⁎⁎⁎	−0.005	0.078
Kurtosis spillover	Wald-test	2.129	980.367	1.523	0.193

P3: December 31, 2019 – April 10, 2020
Volatility spillover		0.439^⁎⁎⁎	0.901^⁎⁎⁎	−0.894^⁎⁎⁎	0.035
Volatility spillover	Wald-test	39.664	14.088	24.962	2.087
Skewness spillover		−1.998^⁎⁎⁎	−0.027	−0.207^⁎⁎⁎	0.255
Skewness spillover	Wald-test	16.223	0.037	7.253	0.98
Kurtosis spillover		0.230^⁎⁎⁎	0.055	−0.018^⁎⁎⁎	0.255
Kurtosis spillover	Wald-test	246.946	271.941^⁎⁎⁎	24.566	0.98

Changes in spillovers between sub-periods
Spillovers in P2 minus Spillovers in P1
Volatility spillover	Diff.	−1.504^⁎⁎⁎	−1.247^⁎⁎⁎	−0.513^⁎⁎⁎	−0.546^⁎⁎⁎
Volatility spillover	Wald-test	44.257	8.458	18.72	43.766
Skewness spillover	Diff.	1.402^⁎⁎⁎	0.359^⁎⁎⁎	0.001	0.013
Skewness spillover	Wald-test	21.45	6.84	8.16E-05	0.012
Kurtosis spillover	Diff.	−0.096^⁎⁎⁎	−0.111^⁎⁎⁎	−0.001	0.013
Kurtosis spillover	Wald-test	555.434	2422.113	0.44	0.012
Spillovers in P3 minus Spillovers in P2
Volatility spillover	Diff.	0.402^⁎⁎⁎	−2.436^⁎⁎⁎	−0.221^⁎⁎⁎	0.157
Volatility spillover	Wald-test	33.461	32.365	7.835	2.295
Skewness spillover	Diff.	1.020^⁎⁎	0.664^⁎⁎⁎	−0.330^⁎⁎⁎	0.177
Skewness spillover	Wald-test	4.309	12.593	12.021	0.991
Kurtosis spillover	Diff.	0.213^⁎⁎⁎	0.189^⁎⁎⁎	−0.013^⁎⁎	0.177
Kurtosis spillover	Wald-test	466.64	2132.291	3.853	0.991

Note: Net spillovers from the Shanghai Stock Exchange A- and B-share indices to other assets are calculated as the differences between absolute values of spillovers from A- and B-share indices to other assets and absolute values of spillovers of the other way around. Static spillovers are derived from estimates of an extended VAR(1) model. Time varying higher moments are obtained via 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. Diff. represents the result of subtraction in spillovers. Wald-test denotes the Wald test statistic for the hypothesis testing of zero spillovers or differences. E stands for scientific notation. ^⁎⁎⁎, ^⁎⁎ and ^⁎ denote significance at the 1%, 5% and 10% levels.