Table 5 Estimated breaking regressions...

Table 5

Estimated breaking regressions using Eq. (2), where Z_t = T_t

Description	CQQQ			FXI			GXC			MCHI
Description	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t
Regime 1	T_t ≤ 2020M1, n = 106			T_t ≤ 2020M1, n = 106			T_t ≤ 2020M1, n = 106			T_t ≤ 2020M1, n = 106
β¹	1.617	0.134	12.10	1.319	0.113	11.64	1.397	0.106	13.21	1.356	0.101	13.44
Regime 2	T_t > 2020M1, n = 46			T_t > 2020M1, n = 46			T_t > 2020M1, n = 46			T_t > 2020M1, n = 46
β²	0.655	0.182	3.60	0.414	0.194	2.13	0.457	0.176	2.60	0.449	0.192	2.34
Dummies (D_t)
January	0.029	0.013	2.19	0.012	0.015	0.80	0.013	0.013	1.03	0.014	0.013	1.10
February	−0.009	0.014	−0.69	−0.032	0.012	−2.69	−0.020	0.010	−1.98	−0.021	0.011	−1.99
March	−0.031	0.024	−1.27	−0.019	0.016	−1.19	−0.020	0.015	−1.33	−0.019	0.016	−1.22
April	−0.015	0.015	−1.01	−0.009	0.013	−0.68	−0.008	0.012	−0.66	−0.004	0.013	−0.33
May	−0.001	0.017	−0.06	−0.010	0.010	−0.97	−0.006	0.010	−0.60	−0.008	0.011	−0.76
June	0.016	0.018	0.86	−0.009	0.012	−0.70	0.002	0.012	0.21	0.001	0.013	0.07
July	−0.034	0.024	−1.40	−0.017	0.023	−0.76	−0.018	0.022	−0.81	−0.017	0.023	−0.77
August	0.006	0.018	0.34	−0.007	0.013	−0.58	−0.006	0.013	−0.41	−0.007	0.013	−0.53
September	−0.010	0.017	−0.61	−0.016	0.012	−1.30	−0.012	0.012	−0.97	−0.012	0.012	−1.01
October	−0.008	0.017	−0.46	−0.008	0.021	−0.36	−0.007	0.017	−0.42	−0.010	0.019	−0.53
November	0.012	0.017	0.69	0.016	0.021	0.76	0.015	0.017	0.84	0.015	0.020	0.75
December	−0.010	0.015	−0.65	−0.005	0.014	−0.35	−0.004	0.011	−0.40	−0.001	0.012	−0.10
R²	0.462			0.412			0.485			0.443
Adjusted R²	0.412			0.356			0.437			0.391
DW	1.75			2.36			2.14			2.17
AIK	−2.595			−2.834			−3.045			−2.924
SIC	−2.316			−2.556			−2.767			−2.644
HQC	−2.482			−2.721			−2.932			−2.810

Description	CQQQ			FXI			GXC			MCHI
Description	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t	Coeff	SE	t
Regime 1	T_t ≤ 2020M1, n = 106			T_t ≤ 2020M1, n = 106			T_t ≤ 2020M1, n = 106			T_t ≤ 2020M1, n = 106
β¹	1.617	0.134	12.10	1.319	0.113	11.64	1.397	0.106	13.21	1.356	0.101	13.44
Regime 2	T_t > 2020M1, n = 46			T_t > 2020M1, n = 46			T_t > 2020M1, n = 46			T_t > 2020M1, n = 46
β²	0.655	0.182	3.60	0.414	0.194	2.13	0.457	0.176	2.60	0.449	0.192	2.34
Dummies (D_t)
January	0.029	0.013	2.19	0.012	0.015	0.80	0.013	0.013	1.03	0.014	0.013	1.10
February	−0.009	0.014	−0.69	−0.032	0.012	−2.69	−0.020	0.010	−1.98	−0.021	0.011	−1.99
March	−0.031	0.024	−1.27	−0.019	0.016	−1.19	−0.020	0.015	−1.33	−0.019	0.016	−1.22
April	−0.015	0.015	−1.01	−0.009	0.013	−0.68	−0.008	0.012	−0.66	−0.004	0.013	−0.33
May	−0.001	0.017	−0.06	−0.010	0.010	−0.97	−0.006	0.010	−0.60	−0.008	0.011	−0.76
June	0.016	0.018	0.86	−0.009	0.012	−0.70	0.002	0.012	0.21	0.001	0.013	0.07
July	−0.034	0.024	−1.40	−0.017	0.023	−0.76	−0.018	0.022	−0.81	−0.017	0.023	−0.77
August	0.006	0.018	0.34	−0.007	0.013	−0.58	−0.006	0.013	−0.41	−0.007	0.013	−0.53
September	−0.010	0.017	−0.61	−0.016	0.012	−1.30	−0.012	0.012	−0.97	−0.012	0.012	−1.01
October	−0.008	0.017	−0.46	−0.008	0.021	−0.36	−0.007	0.017	−0.42	−0.010	0.019	−0.53
November	0.012	0.017	0.69	0.016	0.021	0.76	0.015	0.017	0.84	0.015	0.020	0.75
December	−0.010	0.015	−0.65	−0.005	0.014	−0.35	−0.004	0.011	−0.40	−0.001	0.012	−0.10
R²	0.462			0.412			0.485			0.443
Adjusted R²	0.412			0.356			0.437			0.391
DW	1.75			2.36			2.14			2.17
AIK	−2.595			−2.834			−3.045			−2.924
SIC	−2.316			−2.556			−2.767			−2.644
HQC	−2.482			−2.721			−2.932			−2.810

Note(s): This table shows a significant shift in the betas of the four Chinese ETFs before and after January 2020. Prior to this date, the betas were relatively high, indicating stronger alignment with global market trends. However, following the onset of COVID-19, the betas dropped substantially, reflecting reduced sensitivity to global market movements. This suggests that heightened uncertainty and instability in the post-COVID period significantly dampened the co-movement between these ETFs and the global market

Source(s): The authors’ estimation

[ViewLarge]

Sharing Unavailable