Table 7.
Modeling the volatility of Nasdaq Composite's returns using structural breakpoints in the variance of Chinese stock market returns.
| Variable | Shanghai Composite Index (1) |
Shenzhen Composite Index (2) |
||||
|---|---|---|---|---|---|---|
| Break date | Coefficient | Std. Err | Break date | Coefficient | Std. Err | |
| Mean Equation | ||||||
| Constant | 0.0008 c | 0.0001 | 0.0008 c | 0.0001 | ||
| R_IXIC(-1) | −0.0362 b | 0.0157 | −0.0367 b | 0.0155 | ||
| Variance Equation | ||||||
| Constant | −0.5961 c | 0.0708 | −0.5704 c | 0.0669 | ||
| L.EGARCH | 0.1868 c | 0.0136 | 0.1881 c | 0.0137 | ||
| L.ARCH | 0.9434 c | 0.0076 | 0.9456 c | 0.0071 | ||
| Break point 1 | 30-Jul-2001 | 0.0299 | 0.0246 | 30-Jul-2001 | 0.0188 | 0.0250 |
| Break point 2 | 25-Jun-2002 | 0.0151 | 0.0193 | 25-Jun-2002 | 0.0059 | 0.0201 |
| Break point 3 | 8-Nov-2002 | 0.0207 | 0.0339 | 22-Oct-2003 | −0.0222 | 0.0196 |
| Break point 4 | 16-May-2003 | −0.0128 | 0.0214 | 9-Sep-2004 | −0.0625 c | 0.0219 |
| Break point 5 | 9-Sep-2004 | −0.0501 c | 0.0192 | 19-Aug-2005 | −0.0988 c | 0.0221 |
| Break point 6 | 8-Dec-2006 | −0.0881 c | 0.0191 | 8-May-2006 | −0.1035 c | 0.0236 |
| Break point 7 | 21-Jan-2008 | −0.0512 c | 0.0179 | 9-Aug-2006 | −0.0484 | 0.0309 |
| Break point 8 | 20-Nov-2008 | 0.0203 | 0.0191 | 8-Jan-2007 | −0.0995 c | 0.0225 |
| Break point 9 | 29-Jul-2009 | 0.0091 | 0.0211 | 3-Aug-2007 | −0.0635 c | 0.0195 |
| Break point 10 | 12-Oct-2009 | −0.0565 c | 0.0265 | 21-Jan-2008 | −0.0407 a | 0.0239 |
| Break point 11 | 24-Jan-2011 | −0.0550 c | 0.0180 | 20-Nov-2008 | 0.0105 | 0.0199 |
| Break point 12 | 24-Jul-2013 | −0.0606 c | 0.0175 | 2-Dec-2009 | −0.0221 | 0.0195 |
| Break point 13 | 21-Nov-2014 | −0.0913 c | 0.0199 | 6-Apr-2012 | −0.0545 c | 0.0179 |
| Break point 14 | 16-Jun-2015 | −0.0854 b | 0.0228 | 15-Apr-2015 | −0.0910 c | 0.0193 |
| Break point 15 | 31-Aug-2015 | −0.0058 | 0.0269 | 22-Mar-2016 | −0.0604 c | 0.0200 |
| Break point 16 | 4-Jan-2016 | −0.0575 c | 0.0258 | 31-Jan-2018 | −0.0968 c | 0.0205 |
| Break point 17 | 3-Mar-2016 | −0.0235 | 0.0358 | 1-Feb-2019 | −0.0512 c | 0.0191 |
| Break point 18 | 16-Aug-2016 | −0.0887 c | 0.0208 | 12-Jun-2019 | −0.0715 c | 0.0219 |
| Break point 19 | 6-Feb-2018 | −0.0909 c | 0.0203 | 23-Jan-2020 | −0.1067 c | 0.0235 |
| Break point 20 | 8-Oct-2018 | −0.0704 c | 0.0208 | 26-Mar-2020 | 0.1189 c | 0.0376 |
| Break point 21 | 20-May-2019 | −0.0305 | 0.0193 | 6-Jul-2020 | −0.0288 | 0.0206 |
| Break point 22 | 23-Jan-2020 | −0.0989 c | 0.0227 | 4-Aug-2020 | −0.0869 | 0.0589 |
| Break point 23 | 4-Feb-2020 | 0.0465 | 0.1225 | |||
| Break point 24 | 26-Mar-2020 | 0.1433 c | 0.0446 | |||
| Break point 25 | 1-Jul-2020 | −0.0200 | 0.0199 | |||
| Break point 26 | 27-Jul-2020 | −0.0640 | 0.0605 | |||
Note: a significant at 10% level; b significant at 5% level; c significant at 1% level.