β0

β1

β2

β3

β4

α

p1

p2

μ

σ

a

b

c

d

Panel A: C-SSAEPD-EGARCH

UK in Global

0.59*

0.72*

0.44*

−0.39*

−0.14*

0.45*

1.79*

1.78*

-

-

0.60*

0.79*

0.12*

0.16*

UK in US

0.36*

0.78*

0.20*

−0.31*

−0.08*

0.49*

1.70*

1.70*

-

-

0.51*

0.41*

0.13*

0.32*

Panel B: C-Normal

UK in Global

0.44*

0.76*

0.45*

−0.40*

−0.12*

-

-

-

0.00

4.25

-

-

-

-

UK in US

0.33*

0.81*

0.26*

−0.45*

−0.13*

-

-

-

0.00

4.11

Panel C: FF-Normal

UK in Global

0.36*

0.78*

0.43*

−0.33*

-

-

-

-

0.00

4.27

-

-

-

-

UK in US

0.28*

0.85*

0.23*

−0.37*

-

-

-

-

0.00

4.14

-

-

-

-