Table 8 Long-run effects on market...

Table 8

Long-run effects on market stability and volatility spillovers

Variables	Model 1	Model 2	Model 3
Trend	0.0005	−0.0013***	−0.0007*
Trend	(1.507)	(−2.850)	(−1.706)
Post	−0.0065***	−0.0018	−0.0218***
Post	(−4.315)	(−1.347)	(−2.945)
Post × Trend	0.0131***	0.0133***	0.0105***
Post × Trend	(7.077)	(8.421)	(6.990)
VIX		0.0007***	0.0005***
VIX		(4.338)	(3.686)
Post × VIX			0.0012***
Post × VIX			(2.600)
Constant	0.0128***	0.0036*	0.0068***
Constant	(17.458)	(1.672)	(4.427)
Observations	585	585	585
Adjusted R²	0.540	0.647	0.694

Variables	Model 1	Model 2	Model 3
Trend	0.0005	−0.0013***	−0.0007*
Trend	(1.507)	(−2.850)	(−1.706)
Post	−0.0065***	−0.0018	−0.0218***
Post	(−4.315)	(−1.347)	(−2.945)
Post × Trend	0.0131***	0.0133***	0.0105***
Post × Trend	(7.077)	(8.421)	(6.990)
VIX		0.0007***	0.0005***
VIX		(4.338)	(3.686)
Post × VIX			0.0012***
Post × VIX			(2.600)
Constant	0.0128***	0.0036*	0.0068***
Constant	(17.458)	(1.672)	(4.427)
Observations	585	585	585
Adjusted R²	0.540	0.647	0.694

Note(s): This table reports interrupted time-series (ITS) regression results for KOSPI 200 market volatility and volatility spillover effects. The dependent variable is GARCH Volatility, measured as the conditional volatility estimated from a GARCH(1,1) model using daily KOSPI 200 returns. Post is an indicator equal to one for trading days on or after the offshore listing event and zero otherwise. Trend and Post × Trend are scaled by 100 trading days. VIX captures global market volatility, and Post × VIX captures the change in VIX-related volatility spillovers after the offshore listing. Newey-West standard errors with five lags are used. t-statistics are reported in parentheses. ***, **, and * denote significance at the 1%, 5%, and 10% levels, respectively

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