Table 4 Estimated threshold regressions...

Table 4

Estimated threshold regressions using Eq. (2) where Z_t-d = EPU_t-d

Description	CQQQ			FXI			GXC			MCHI
Description	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t	Coeff	t
Regime 1	EPU_t-12 < 413, n = 93			EPU_t-3 < 632, n = 113			EPU_t-11 < 488, n = 98			EPU_t-11 < 488, n = 97
β¹	1.701	0.138	0.00	1.291	0.162	0.00	1.408	0.107	0.00	1.369	0.00
Regime 2	EPU_t-12 ≥ 413, n = 59			EPU_t-3 ≥ 632, n = 39			EPU_t-11 ≥ 488, n = 54			EPU_t-11 ≥ 488, n = 54
β²	0.580	0.192	3.02	0.312	0.188	1.66	0.395	0.181	2.19	0.386	0.054
Seasonal dummies:
January	0.032	0.013	2.48	0.015	0.017	0.87	0.006	0.012	0.48	0.007	0.56
February	−0.012	0.012	−1.04	−0.028	0.012	−2.29	−0.025	0.011	−2.26	−0.026	0.03
March	−0.033	0.024	−1.39	−0.022	0.017	−1.26	−0.021	0.015	−1.38	−0.020	0.21
April	−0.016	0.015	−1.05	0.002	0.015	0.17	−0.008	0.012	−0.64	−0.004	0.76
May	0.001	0.017	0.04	−0.015	0.010	−1.45	−0.006	0.010	−0.61	−0.008	0.45
June	0.020	0.019	1.10	−0.005	0.013	−0.40	0.007	0.013	0.52	0.005	0.72
July	−0.031	0.025	−1.27	−0.019	0.022	−0.86	−0.017	0.022	−0.79	−0.017	0.46
August	0.005	0.018	0.29	−0.009	0.012	−0.72	−0.004	0.015	−0.26	−0.005	0.71
September	−0.001	0.013	−0.04	−0.010	0.013	−0.75	−0.003	0.009	−0.40	−0.004	0.61
October	−0.006	0.017	−0.37	−0.008	0.022	−0.39	−0.005	0.016	−0.29	−0.008	0.68
November	0.017	0.019	0.88	0.016	0.017	0.97	0.019	0.019	1.03	0.019	0.36
December	−0.006	0.016	−0.37	−0.009	0.017	−0.53	−0.001	0.012	−0.10	0.002	0.88
R²	0.483			0.425			0.495			0.452
Adj. R²	0.434			0.371			0.447			0.400
DW	1.80			2.35			2.29			2.31
AIC	−2.634			−2.858			−3.063			−2.940
SIC	−2.355			−2.580			−2.784			−2.661
HQIC	−2.520			−2.745			−2.950			−2.827

Description	CQQQ			FXI			GXC			MCHI
Description	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t	Coeff	t
Regime 1	EPU_t-12 < 413, n = 93			EPU_t-3 < 632, n = 113			EPU_t-11 < 488, n = 98			EPU_t-11 < 488, n = 97
β¹	1.701	0.138	0.00	1.291	0.162	0.00	1.408	0.107	0.00	1.369	0.00
Regime 2	EPU_t-12 ≥ 413, n = 59			EPU_t-3 ≥ 632, n = 39			EPU_t-11 ≥ 488, n = 54			EPU_t-11 ≥ 488, n = 54
β²	0.580	0.192	3.02	0.312	0.188	1.66	0.395	0.181	2.19	0.386	0.054
Seasonal dummies:
January	0.032	0.013	2.48	0.015	0.017	0.87	0.006	0.012	0.48	0.007	0.56
February	−0.012	0.012	−1.04	−0.028	0.012	−2.29	−0.025	0.011	−2.26	−0.026	0.03
March	−0.033	0.024	−1.39	−0.022	0.017	−1.26	−0.021	0.015	−1.38	−0.020	0.21
April	−0.016	0.015	−1.05	0.002	0.015	0.17	−0.008	0.012	−0.64	−0.004	0.76
May	0.001	0.017	0.04	−0.015	0.010	−1.45	−0.006	0.010	−0.61	−0.008	0.45
June	0.020	0.019	1.10	−0.005	0.013	−0.40	0.007	0.013	0.52	0.005	0.72
July	−0.031	0.025	−1.27	−0.019	0.022	−0.86	−0.017	0.022	−0.79	−0.017	0.46
August	0.005	0.018	0.29	−0.009	0.012	−0.72	−0.004	0.015	−0.26	−0.005	0.71
September	−0.001	0.013	−0.04	−0.010	0.013	−0.75	−0.003	0.009	−0.40	−0.004	0.61
October	−0.006	0.017	−0.37	−0.008	0.022	−0.39	−0.005	0.016	−0.29	−0.008	0.68
November	0.017	0.019	0.88	0.016	0.017	0.97	0.019	0.019	1.03	0.019	0.36
December	−0.006	0.016	−0.37	−0.009	0.017	−0.53	−0.001	0.012	−0.10	0.002	0.88
R²	0.483			0.425			0.495			0.452
Adj. R²	0.434			0.371			0.447			0.400
DW	1.80			2.35			2.29			2.31
AIC	−2.634			−2.858			−3.063			−2.940
SIC	−2.355			−2.580			−2.784			−2.661
HQIC	−2.520			−2.745			−2.950			−2.827

Note(s): This table shows that betas in both Regime 1 and Regime 2 are positive and statistically significant. However, during periods of heightened uncertainty, all betas decline sharply, highlighting that the fortunes of the Chinese market become noticeably less aligned with the global benchmark. The time it takes for ETFs to react to changes in the EPU index varies, from 3 months for large-cap companies to 12 months for the overall market and tech sectors. When EPU_t-12 is below 413, CQQQ’s performance increases by 1.70% for each 1% rise in the global market. However, when uncertainty surpasses 413, this response diminishes to just 0.58%, underscoring China’s decoupling during times of high uncertainty

Source(s): The authors’ estimation

[ViewLarge]

Sharing Unavailable