Mathematical Problems in Engineering

Research Article

Investors’ Risk Preference Characteristics and Conditional Skewness

Table 9

Results of GARCH-M model for both subsamples.
 
Subsample one     
 NYSE0.019299−0.560471*0.140618***1.537443***−1.485586***
 NASDAQ−0.190861***0.552694***0.457170***2.509508***−2.553913***
 N225−4.303337***−0.555784***0.454203***2.608714***−2.661776***
 FTSE−2.097614***−0.549676***0.459551***2.857326***−2.881908***
 HSI0.813972***−0.556632***0.453012***1.150249***−1.175460***
 SSE3.055975***−0.558609***0.452607***2.324789***−2.405169***
 TSX−4.095659***−0.558458***0.447830***4.101495***−4.193618***
 DAX−1.568814***−0.553748***0.429908***1.708075***−1.767928***
 AORD−1.600360***−0.544216***0.464784***0.994613***−1.008317***
 BSE−3.000078***−0.563749***0.425857***2.307102***−2.363432***
Subsample two     
 NYSE−1.087094***−0.542527***0.444638***1.793444***−1.848726***
 NASDAQ−2.047090***−0.548294***0.442114***1.889977***−1.958825***
 N2253.699622***−0.560864***0.447874***1.809345***−1.955307***
 FTSE−1.889732***−0.547451***0.463148***2.148643***−2.201765***
 HSI−0.651936***−0.564576***0.446703***0.705003***−0.733996***
 SSE−0.605922−0.556074***0.433163***1.593244***−1.688626***
 TSX−0.570423*−0.567550***0.457572***2.467647***−2.489784***
 DAX−2.300593***−0.555535***0.432920***1.843302***−1.914344***
 AORD−3.133897***−0.557795***0.416543***2.354740***−2.412256***
 BSE−2.605670***−0.575761***0.386893***0.876803***−0.944603***
Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.