Mathematical Problems in Engineering

Research Article

Investors’ Risk Preference Characteristics and Conditional Skewness

Table 10

Results of GARCHS-M model for both subsamples.
 
Subsample one      
 NYSE0.149401−0.548242***0.431393***3.672784***−3.866663***−0.000130***
 NASDAQ−0.513311***−0.548874***0.459606***2.710596***−2.755633***−0.001513***
 N225−3.777040***−0.556352***0.453421***2.644557***−2.681098***−0.000891***
 FTSE−0.921792*−0.553122***0.373123***2.788999***−2.825051***−0.002944***
 HSI2.475027**−0.561807***0.424600***3.151613***−3.205647***−0.004062***
 SSE1.391548***−0.601986***0.404642***1.884679***−1.997258***−0.002907***
 TSX−4.761000***−0.552547***0.458116***4.451923***−4.543090***−0.000454***
 DAX−1.425049***−0.545360***0.403189***2.241518***−2.359356***−0.007290***
 AORD−5.386529***−0.543488***0.411663***5.148688***−5.155793***−0.000302***
 BSE−1.423630**−0.578691***0.375985***2.328986***−2.373751***−0.004478***
Subsample two      
 NYSE−1.520766**−0.526001***0.460741***2.079199***−2.156131***−0.002908***
 NASDAQ−2.059548***−0.560921***0.438179***2.082888***−2.124802***−0.007101***
 N2252.280618***−0.558477***0.398786***1.755023***−1.855310***−0.016086***
 FTSE−2.211826***−0.592518***0.335528***1.900084***−1.966627***−0.015200***
 HSI−0.877987*−0.546284***0.445602***1.604401***−1.671164***−0.00813***
 SSE−2.552083***−0.549725***0.432000***1.761072***−1.844075***−0.007611***
 TSX−0.655421−0.570514***0.447033***2.531141***−2.560608***−0.002375***
 DAX−2.351308***−0.555709***0.350298***1.851416***−1.815590***−0.022803***
 AORD−0.481914**−0.605378***0.323437***2.042283***−2.045983***−0.029672***
 BSE−1.743111***−0.548526***0.397695***1.649966***−1.739665***−0.003711***
Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.