Investors’ Risk Preference Characteristics and Conditional Skewness

Table 7

Results of D-GARCH-M model for both subsamples.

	Subsample one		Subsample two
	𝛾1	𝛾2	𝛾1	𝛾2
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***

Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.