原假设

Chi-sq

REITs-STOCKs

${\text{H}}_0:a_{12}=b_{12}=0$

8.368557^**

${\text{H}}_{\text{1}}:a_{21}=b_{21}=0$

4.033914

${\text{H}}_{\text{2}}:a_{12}=b_{12}=a_{21}=b_{21}=0$

13.374415^***

REITs-BONDs

${\text{H}}_0:a_{13}=b_{13}=0$

0.154517

${\text{H}}_{\text{1}}:a_{31}=b_{31}=0$

21.694862^***

${\text{H}}_{\text{2}}:a_{12}=b_{12}=a_{21}=b_{21}=0$

25.768541^***

STOCKs-BONDs

${\text{H}}_0:a_{23}=b_{23}=0$

140.225754^***

${\text{H}}_1:a_{32}=b_{32}=0$

48.475985^***

${\text{H}}_2:a_{23}=b_{23}=a_{32}=b_{32}=0$

176.681343^***