Table 5.
Variable | Shanghai Composite Index (1) |
Shenzhen Composite Index (2) |
||||
---|---|---|---|---|---|---|
Break date | Coefficient | Std. Err | Break date | Coefficient | Std. Err | |
Mean Equation | ||||||
Constant | −0.0007 c | 0.0001 | −0.0007 c | 0.0001 | ||
R_S&P500(-1) | −0.0676 c | 0.0163 | −0.0678 c | 0.0159 | ||
Variance Equation | ||||||
Constant | −0.7176 c | 0.0713 | −0.6888 c | 0.0694 | ||
L.EGARCH | 0.2347 c | 0.0132 | 0.2392 c | 0.0131 | ||
L.ARCH | 0.9369 c | 0.0069 | 0.9390 c | 0.0067 | ||
Break point 1 | 30-Jul-2001 | −0.0145 | 0.0249 | 30-Jul-2001 | −0.0283 | 0.0261 |
Break point 2 | 25-Jun-2002 | −0.0125 | 0.0230 | 25-Jun-2002 | −0.0253 | 0.0243 |
Break point 3 | 8-Nov-2002 | 0.0411 | 0.0347 | 22-Oct-2003 | −0.0282 | 0.0246 |
Break point 4 | 16-May-2003 | −0.0082 | 0.0277 | 9-Sep-2004 | −0.0960 c | 0.0258 |
Break point 5 | 9-Sep-2004 | −0.0789 c | 0.0232 | 19-Aug-2005 | −0.1078 c | 0.0263 |
Break point 6 | 8-Dec-2006 | −0.0960 c | 0.0221 | 8-May-2006 | −0.1071 c | 0.0265 |
Break point 7 | 21-Jan-2008 | −0.0264 | 0.0206 | 9-Aug-2006 | −0.0655 a | 0.0348 |
Break point 8 | 20-Nov-2008 | 0.0478 a | 0.0248 | 8-Jan-2007 | −0.1376 c | 0.0277 |
Break point 9 | 29-Jul-2009 | 0.0436 | 0.0275 | 3-Aug-2007 | −0.0383 a | 0.0225 |
Break point 10 | 12-Oct-2009 | −0.0372 | 0.0335 | 21-Jan-2008 | −0.0209 | 0.0269 |
Break point 11 | 24-Jan-2011 | −0.0368 a | 0.0214 | 20-Nov-2008 | 0.0323 | 0.0259 |
Break point 12 | 24-Jul-2013 | −0.0493 b | 0.0205 | 2-Dec-2009 | 0.0018 | 0.0251 |
Break point 13 | 21-Nov-2014 | −0.0967 c | 0.0225 | 6-Apr-2012 | −0.0441 b | 0.0219 |
Break point 14 | 16-Jun-2015 | −0.0729 c | 0.0264 | 15-Apr-2015 | −0.0928 c | 0.0225 |
Break point 15 | 31-Aug-2015 | 0.0058 | 0.0309 | 22-Mar-2016 | −0.0556 b | 0.0247 |
Break point 16 | 4-Jan-2016 | −0.0440 | 0.0315 | 31-Jan-2018 | −0.1110 c | 0.0235 |
Break point 17 | 3-Mar-2016 | −0.0246 | 0.0505 | 1-Feb-2019 | −0.0546 b | 0.0226 |
Break point 18 | 16-Aug-2016 | −0.0940 c | 0.0235 | 12-Jun-2019 | −0.0922 c | 0.0278 |
Break point 19 | 6-Feb-2018 | −0.0996 c | 0.0224 | 23-Jan-2020 | −0.1138 c | 0.0267 |
Break point 20 | 8-Oct-2018 | −0.0742 c | 0.0231 | 26-Mar-2020 | 0.1491 c | 0.0440 |
Break point 21 | 20-May-2019 | −0.0341 a | 0.0205 | 6-Jul-2020 | 0.0033 | 0.0263 |
Break point 22 | 23-Jan-2020 | −0.1010 c | 0.0251 | 4-Aug-2020 | −0.1979 c | 0.0801 |
Break point 23 | 4-Feb-2020 | 0.0720 | 0.1194 | |||
Break point 24 | 26-Mar-2020 | 0.1817 c | 0.0516 | |||
Break point 25 | 1-Jul-2020 | 0.0208 | 0.0254 | |||
Break point 26 | 27-Jul-2020 | −0.1828 b | 0.0835 |
Note: a significant at 10% level; b significant at 5% level; c significant at 1% level.