Table 8. Robustness tests on the...

Table 8.

Robustness tests on the optimal, 10% and 5% boundary point for the post-GFC sample period (January 1, 2008 to October 17, 2023)

ETF			Threshold levels
	Optimal		5%		10%
	F(1, 4118)	β_d − β_u	F(1, 204)	β_d − β_u	F(1, 410)	β_d − β_u
XLB	1.76	0.04	0.02	0.01	1.89	0.05
XLE	13.09***	0.16	12.21***	0.32	20.72***	0.29
XLF	4397.80***	−1.60	8.36***	0.27	4.01**	0.12
XLI	0.01	−0.00	0.41	0.03	7.44***	0.08
XLK	60.05***	−0.18	5.56**	−0.10	9.53***	−0.09
XLP	20.56***	0.09	3.15*	0.08	4.07**	0.06
XLU	3.88**	−0.05	1.95	−0.08	2.36	−0.06
XLV	29.11***	0.11	0.42	−0.03	0.00	0.00
XLY	15.40***	0.11	58.46***	0.33	65.49***	0.23

ETF			Threshold levels
	Optimal		5%		10%
	F(1, 4118)	β_d − β_u	F(1, 204)	β_d − β_u	F(1, 410)	β_d − β_u
XLB	1.76	0.04	0.02	0.01	1.89	0.05
XLE	13.09***	0.16	12.21***	0.32	20.72***	0.29
XLF	4397.80***	−1.60	8.36***	0.27	4.01**	0.12
XLI	0.01	−0.00	0.41	0.03	7.44***	0.08
XLK	60.05***	−0.18	5.56**	−0.10	9.53***	−0.09
XLP	20.56***	0.09	3.15*	0.08	4.07**	0.06
XLU	3.88**	−0.05	1.95	−0.08	2.36	−0.06
XLV	29.11***	0.11	0.42	−0.03	0.00	0.00
XLY	15.40***	0.11	58.46***	0.33	65.49***	0.23

Note(s):

***, ** and * indicate that the null hypothesis is rejected at the 1%, 5% and 10% significance level, respectively. This table shows the Wald test results and the difference between upside and downside beta of sectoral ETFs at post-GFC sample period. The result shows that the null hypothesis of $H_{0} : β_{d}$ = $β_{u}$ can be rejected for XLE, XLF, XLK and XLY irrespective of the boundary points

[ViewLarge]

Sharing Unavailable