Research Article
Investors’ Risk Preference Characteristics and Conditional Skewness
Table 7
Results of D-GARCH-M model for both subsamples.
| | Subsample one | Subsample two | | | | | |
| NYSE | 0.640981*** | −0.679950*** | 0.595190*** | −0.683966*** | NASDAQ | 0.685455*** | −0.729813*** | 0.618578*** | −0.766874*** | N225 | 0.629153*** | −0.692404*** | 0.635881*** | −0.697001*** | FTSE | 0.644795*** | −0.707139*** | 0.561256*** | −0.660976*** | HSI | 0.614571*** | −0.661842*** | 0.649233*** | −0.676273*** | SSE | 0.622441*** | −0.623209*** | 0.617179*** | −0.648040*** | TSX | 0.675752*** | −0.704449*** | 0.604806*** | −0.679584*** | DAX | 0.655910*** | −0.732814*** | 0.576186*** | −0.660571*** | AORD | 0.648971*** | −0.697216*** | 0.624139*** | −0.716930*** | BSE | 0.667433*** | −0.692247*** | 0.642601*** | −0.696585*** |
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Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.
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