Table 3 Non-threshold estimated betas (...

Table 3

Non-threshold estimated betas (Eq. (1))

Description	CQQQ			FXI			GXC			MCHI
Description	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t
β	1.125	0.176	6.40	0.857	0.169	5.06	0.917	0.166	5.53	0.891	0.167	5.35
Seasonal dummies (D_t):
January	0.033	0.014	2.42	0.015	0.017	0.89	0.017	0.015	1.11	0.018	0.015	1.17
February	0.001	0.014	0.07	−0.022	0.014	−1.52	−0.010	0.013	−0.80	−0.011	0.013	−0.88
March	−0.023	0.025	−0.93	−0.012	0.017	−0.71	−0.013	0.017	−0.77	−0.012	0.017	−0.71
April	−0.012	0.016	−0.72	−0.005	0.014	−0.39	−0.004	0.013	−0.35	−0.002	0.014	−0.17
May	−0.008	0.017	−0.46	−0.016	0.010	−1.64	−0.013	0.010	−1.29	−0.015	0.011	−1.35
June	0.017	0.020	0.83	−0.008	0.015	−0.52	0.003	0.015	0.23	0.002	0.016	0.11
July	−0.035	0.024	−1.44	−0.018	0.023	−0.81	−0.019	0.022	−0.88	−0.019	0.023	−0.82
August	0.001	0.018	0.06	−0.012	0.012	−1.06	−0.010	0.012	−0.85	−0.012	0.013	−0.94
September	−0.005	0.016	−0.33	−0.011	0.012	−0.93	−0.007	0.013	−0.57	−0.008	0.012	−0.66
October	−0.004	0.021	−0.18	−0.004	0.023	−0.17	−0.003	0.020	−0.16	−0.006	0.021	−0.29
November	0.007	0.017	0.38	0.011	0.021	0.54	0.009	0.017	0.55	0.010	0.019	0.50
December	−0.014	0.017	−0.86	−0.009	0.015	−0.61	−0.009	0.012	−0.72	−0.005	0.013	−0.41
R²	0.400			0.335			0.397			0.364
Adjusted R²	0.349			0.278			0.345			0.309
DW	1.83			2.35			2.18			2.19
AIC	−2.499			−2.726			−2.900			−2.804
SIC	−2.240			−2.467			−2.641			−2.544
HQIC	−2.394			−2.621			−2.794			−2.698

Description	CQQQ			FXI			GXC			MCHI
Description	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t
β	1.125	0.176	6.40	0.857	0.169	5.06	0.917	0.166	5.53	0.891	0.167	5.35
Seasonal dummies (D_t):
January	0.033	0.014	2.42	0.015	0.017	0.89	0.017	0.015	1.11	0.018	0.015	1.17
February	0.001	0.014	0.07	−0.022	0.014	−1.52	−0.010	0.013	−0.80	−0.011	0.013	−0.88
March	−0.023	0.025	−0.93	−0.012	0.017	−0.71	−0.013	0.017	−0.77	−0.012	0.017	−0.71
April	−0.012	0.016	−0.72	−0.005	0.014	−0.39	−0.004	0.013	−0.35	−0.002	0.014	−0.17
May	−0.008	0.017	−0.46	−0.016	0.010	−1.64	−0.013	0.010	−1.29	−0.015	0.011	−1.35
June	0.017	0.020	0.83	−0.008	0.015	−0.52	0.003	0.015	0.23	0.002	0.016	0.11
July	−0.035	0.024	−1.44	−0.018	0.023	−0.81	−0.019	0.022	−0.88	−0.019	0.023	−0.82
August	0.001	0.018	0.06	−0.012	0.012	−1.06	−0.010	0.012	−0.85	−0.012	0.013	−0.94
September	−0.005	0.016	−0.33	−0.011	0.012	−0.93	−0.007	0.013	−0.57	−0.008	0.012	−0.66
October	−0.004	0.021	−0.18	−0.004	0.023	−0.17	−0.003	0.020	−0.16	−0.006	0.021	−0.29
November	0.007	0.017	0.38	0.011	0.021	0.54	0.009	0.017	0.55	0.010	0.019	0.50
December	−0.014	0.017	−0.86	−0.009	0.015	−0.61	−0.009	0.012	−0.72	−0.005	0.013	−0.41
R²	0.400			0.335			0.397			0.364
Adjusted R²	0.349			0.278			0.345			0.309
DW	1.83			2.35			2.18			2.19
AIC	−2.499			−2.726			−2.900			−2.804
SIC	−2.240			−2.467			−2.641			−2.544
HQIC	−2.394			−2.621			−2.794			−2.698

Note(s): This table presents the results from estimating Eq. (1) for four Chinese ETFs using monthly data from April 2011 to November 2023. The findings indicate that all estimated beta coefficients are statistically significant at the 1% level. The betas are fixed throughout the sample period, regardless of fluctuations in the EPU index; however, this assumption is indefensible based on the three model selection criteria reported at the bottom of Tables 3–5. CQQQ, representing the technology sector, exhibits the highest beta, while FXI, which includes the largest 50 companies, has the lowest beta

Source(s): The authors’ estimation

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