Table 3: OLE of high-low level equation.

Panel A: high level equation ( )
Index -stat. value

DJI 0.017***−0.171***−0.084 −0.236*** 0.117**0.022
0.230
22.868
0.001
(6.44) (−4.838) (−1.582) (−6.346) (2.307)
STI 0.010 −0.137*−0.032 −0.291*** 0.327***0.029
0.316
9.387
0.001
(1.550) (−1.765) (−0.321) (−3.594) (3.501)

Panel B: low level equation ( )
Index -stat. value

DJI −0.02***0.039 0.175***−0.056 0.224***0.035
0.099
8.400
0.001
(−4.816) (0.436) (3.026) (−0.668) (3.586)
STI −0.029***0.350**0.442***−0.164 0.0300.041
0.191
4.728
0.002
(−3.193) (2.342) (3.905) (−1.139) (0.251)

Panel C: level equation
Index -stat. value

DJI −0.001 −0.209***0.170***−0.256*** 0.244***0.030
0.560
195.946
0.001
(−0.710) (−5.376) (4.409) (−6.658) (6.272)
STI −0.0004 −0.100 0.301***−0.279*** 0.186**0.039
0.538
48.248
0.001
(−0.093) (−1.310) (4.116) (−3.824) (2.467)

Panel D: asymmetry test
-stat.d.f. value

DJI 121.7016 0.001
STI 46.604 6 0.001

Note: Asterisks ***, **, * indicate significance at the 1%, 5%, and 10% level, respectively.
-statistics are given in parentheses beneath the parameter estimates.
Panel A: .
Panel B: .
Panel C: .