Table A-2.

Durbin-Wu-Hausman tests for endogeneity.

Model	Test	Statistic	p-value
Stock returns	Durbin-Wu-Hausman ${\chi }^2$	25.290	0.000
Volatility	Durbin-Wu-Hausman ${\chi }^2$	11.750	0.000

Notes:Null Hypothesis ($H_0$): Regressor is Exogenous.