Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 12

Table of correlation coefficients between various sector indices and SSE Composite Index returns.

	Material	Telecommunication	Financial	Energy	Consumption	Medicine
Phase I	0.894	−0.142	0.924	0.814	0.547	−0.035
Phase II	0.959	0.929	0.963	0.879	0.975	0.946
Phase III	0.934	0.924	0.878	0.945	0.919	0.916