Table 9.

Test of volatility spillover effects between two countries

	$R_{m,t}^c$	$R_{a,t}^c$	$R_{d,t}^c$
Spillover direction
The US to China (ai, 21 = bi, 21 = di, 21 = 0)	6.878*** [0.000]	5.105** [0.002]	8.646*** [0.000]
China to the US (ai, 12 = bi, 12 = di, 12 = 0)	10.945*** [0.000]	5.732*** [0.000]	14.769*** [0.000]

Notes. This table reports the F-test of the volatility spillover effects based on the estimation results of the asymmetric BEKK-GARCH model. The sample period spans from January 1, 2010, to March 31, 2020. $R_{m,t}^c$, $R_{a,t}^c$, and $R_{d,t}^c$ denote different $R_{i,t}^c$ in the mean equation of the asymmetric BEKK-GARCH model. “The US to China” means that the null hypothesis is that there are significant volatility spillover effects from the U.S. to the Chinese stock market. “China to the US” means that the null hypothesis is that there are significant volatility spillover effects from the Chinese to the U.S. stock market. The p-value is shown in brackets. One, two and three asterisks (*), respectively, indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level