Table A1.
Parameter estimates for univariate and multivariate models using return data
| Panel A: Parameter estimates for univariate models using return data | |||
|---|---|---|---|
| Asia | Europe | USA | |
| Model | 2S-MSIAH | 2S-MSIAH | 2S-MSIAH |
| μ1 | 0.12 (0.10) | 0.16* (0.09) | 0.18** (0.08) |
| μ2 | −0.73 (0.82) | −1.05 (0.74) | −0.46 (0.50) |
| β1 | −0.11 (0.08) | −0.15** (0.07) | −0.11 (0.08) |
| β2 | −0.49*** (0.18) | −0.36** (0.17) | −0.36*** (0.14) |
| σ1 | 1.38*** (0.20) | 1.26*** (0.16) | 0.73*** (0.11) |
| σ2 | 15.91*** (4.82) | 17.42*** (4.26) | 10.75*** (2.48) |
| Duration 1 | 66.86 | 44.37 | 65.61 |
| Duration 2 | 7.49 | 1.95 | 14.48 |
| Panel B: Parameter estimates for multivariate models using return data | ||||
|---|---|---|---|---|
| Asia | Europe | USA | Other | |
| μ1 | 0.32*** (0.11) | 0.29** (0.12) | 0.36*** (0.11) | 0.26*** (0.09) |
| μ2 | −1.11*** (0.41) | −1.31*** (0.47) | −1.19*** (0.39) | −1.05*** (0.32) |
| β1_Asia | −0.81*** (0.24) | −0.83*** (0.26) | −0.68*** (0.22) | −0.62*** (0.18) |
| β2_Asia | 0.20 (0.59) | 0.21 (0.69) | 0.26 (0.56) | 0.09 (0.47) |
| β1_Europe | 0.29 (0.24) | 0.34 (0.26) | 0.22 (0.22) | 0.31* (0.17) |
| β2_Europe | −0.67 (0.83) | −0.85 (0.95) | −0.77 (0.77) | −0.66 (0.63) |
| β1_USA | −0.89*** (0.20) | −0.97*** (0.22) | −0.90*** (0.19) | −0.78*** (0.16) |
| β2_USA | 0.10 (0.48) | 0.30 (0.54) | 0.44 (0.44) | 0.11 (0.37) |
| β1_Others | 0.87*** (0.27) | 0.91*** (0.29) | 0.89*** (0.25) | 0.69*** (0.21) |
| β2_Others | 1.62* (0.97) | 1.81 (1.15) | 1.15 (0.92) | 1.61** (0.82) |
| σ1 | 1.45*** (0.2) | |||
| σ2 | 3.4*** (0.87) | |||
| Duration 1 | 4.68 | |||
| Duration 2 | 1.25 | |||
This table reports the parameter estimates of the univariate and multivariate 2-state Markov switching models for the daily return of ETFs with exposure to Asia, Europe, and the U.S. The return is calculated based on the value- (AUM) weighted average return of all ETFs in each group. The model choice (MSIAH) is based on the lowest AIC and BIC score. The general MSIAH model is specified as yt = mSt + bStyt−1 + et, where yt refers to a vector of individual location return, mStrepresents the conditional mean in each state (1 and 2), and sStshows the conditional volatility of each state. bSt denotes the first-order autoregressive term and et shows the residuals. Duration shows the respective duration of being in one regime during the period of the study. The sample period is from January 2020 to October 2020. The parentheses contain the standard error. *, **, and ***, respectively, denote significance at the 10%, 5%, and 1% levels.