Investors’ Risk Preference Characteristics and Conditional Skewness

Table 8

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

	Subsample one		Subsample two
	𝛾1	𝛾2	𝛾1	𝛾2
NYSE	1.001558***	−1.029353***	0.522485***	−0.570659***
NASDAQ	0.710845***	−0.725153***	0.551125***	−0.538697***
N225	0.736881***	−0.800961***	0.504701***	−0.643300***
FTSE	0.867442***	−0.913827***	0.579689***	−0.670907***
HSI	0.859986***	−1.0314767***	0.411237***	−0.529651***
SSE	0.647975***	−0.759942***	0.433204***	−0.529604***
TSX	1.204687***	−1.224402***	0.580805***	−0.678481***
DAX	0.539064***	−0.569934***	0.516428***	−0.579919***
AORD	1.447118***	−1.597704***	0.675407***	−0.746404***
BSE	0.678387***	−0.805845***	0.460132***	−0.510001***

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