Sectoral performance – shifts in returns of the healthcare sector
| Variables | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| Panel IV.A – healthcare sector | ||||||
| Intercept | 108.22 (1.86) | 171.76 (5.59) | 51.45 (4.46) | 145.65 (2.81) | 137.73 (5.32) | 60.40 (15.77) |
| Gold | 0.18 (1.45) | –0.19*** (–2.79) | 0.09 (1.00) | |||
| Crude oil | 0.08 (1.59) | –0.07* (–1.73) | –0.03 (–0.51) | |||
| Panel IV.B – industrial sector | ||||||
| Intercept | 390.57 (7.70) | 415.68 (15.52) | 52.15 (5.91) | 287.50 (6.65) | 311.74 (12.24) | 42.34 (12.55) |
| Gold | –0.21* (–1.74) | –0.44*** (–7.23) | –0.07 (–1.01) | |||
| Crude oil | 0.09** (2.01) | –0.008 (–0.19) | –0.05 (–1.13) | |||
| Panel IV.C – consumer stables sector | ||||||
| Intercept | 116.43 (3.71) | 103.24 (4.35) | 42.19 (6.95) | 221.04 (9.02) | 160.56 (11.28) | 72.41 (34.28) |
| Gold | 0.23 (3.69) | 0.16 (2.81) | 0.30 (5.83) | |||
| Crude oil | –0.07 (–2.05) | –0.11 (–3.67) | –0.09 (–2.51) | |||
| Panel IV.D – consumer discretionary sector | ||||||
| Intercept | 442.01 (4.70) | 476.96 (8.56) | –6.92 (–0.43) | 550.36 (7.44) | 486.52 (12.65) | 41.01 (7.09) |
| Gold | 0.33 1.59 | –0.07 (–0.49) | 0.49*** (3.55) | |||
| Crude oil | 0.03 (0.30) | –0.15** (–2.09) | –0.20* (–1.88) | |||
| Panel IV.E – information technology sector | ||||||
| Intercept | 246.33 (2.68) | 297.68 (5.68) | 5.98 (0.35) | 342.72 (4.41) | 285.50 (7.33) | 37.49 (5.75) |
| Gold | 0.28 (1.37) | –0.19 (–1.56) | 0.33** (2.37) | |||
| Crude oil | 0.009 (0.10) | –0.21*** (–2.95) | –0.15 (–1.43) | |||
| Panel IV.F – materials sector | ||||||
| Intercept | 374.41 (6.44) | 367.27 (12.78) | 35.89 (3.50) | 247.13 (5.74) | 310.61 (12.12) | 42.07 (12.40) |
| Gold | –0.01 (–0.11) | –0.25*** (–3.84) | 0.08 (0.99) | |||
| Crude oil | 0.09 (1.52) | –0.03 (–0.53) | –0.09 (–1.62) | |||
| Panel IV.G – utility sector | ||||||
| Intercept | 47.72 (1.16) | 113.48 (4.16) | 56.62 (7.15) | 143.08 (5.28) | 142.30 (8.14) | 71.86 (30.47) |
| Gold | 0.24*** (2.68) | 0.05 (0.76) | 0.17** (2.57) | |||
| Crude oil | –0.03 (–0.75) | –0.10** (–2.58) | –0.10*** (–2.61) | |||
| Panel IV.H – real estate sector | ||||||
| Intercept | 71.41 (1.14) | 193.61 (4.56) | 52.99 (3.74) | 61.08 (1.06) | 111.58 (2.85) | 42.80 (8.08) |
| Gold | 0.03 (0.23) | –0.40*** (–5.00) | –0.08 (–0.79) | |||
| Crude oil | 0.08 (1.42) | –0.09 (–1.51) | –0.03 (–0.44) | |||
| Panel IV.I – financial sector | ||||||
| Intercept | 419.72 (6.91) | 422.58 (12.09) | 87.32 (6.82) | 113.06 (1.90) | 178.33 (3.80) | 19.57 (3.87) |
| Gold | –0.72*** (–4.88) | –0.99*** (–10.92) | –0.62*** (–6.14) | |||
| Crude oil | 0.15** (2.01) | 0.03 (0.36) | 0.007 (0.09) | |||
| Panel IV.J – energy sector | ||||||
| Intercept | 157.94 (1.55) | 23.07 (0.35) | 76.09 (4.14) | –155.29 (–3.05) | –172.24 (–4.55) | 23.76 (4.64) |
| Gold | –0.36 (–1.54) | –0.46** (–2.42) | –0.60*** (–3.70) | |||
| Crude oil | 0.57*** (8.32) | –0.50** (–6.71) | 0.44 (4.86) | |||
| Panel IV.K – communication services sector | ||||||
| Intercept | 444.97 (5.06) | 569.32 (12.99) | 73.66 (4.57) | 277.47 (3.79) | 369.99 (8.04) | 51.61 (9.26) |
| Gold | –0.35* (–1.85) | –0.87*** (–7.61) | –0.20 (–1.42) | |||
| Crude oil | 0.14* (1.84) | –0.07 (–0.87) | –0.007 (–0.08) | |||
| Variables | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| Intercept | 108.22 (1.86) | 171.76 (5.59) | 51.45 (4.46) | 145.65 (2.81) | 137.73 (5.32) | 60.40 (15.77) |
| Gold | 0.18 (1.45) | –0.19*** (–2.79) | 0.09 (1.00) | |||
| Crude oil | 0.08 (1.59) | –0.07* (–1.73) | –0.03 (–0.51) | |||
| Intercept | 390.57 (7.70) | 415.68 (15.52) | 52.15 (5.91) | 287.50 (6.65) | 311.74 (12.24) | 42.34 (12.55) |
| Gold | –0.21* (–1.74) | –0.44*** (–7.23) | –0.07 (–1.01) | |||
| Crude oil | 0.09** (2.01) | –0.008 (–0.19) | –0.05 (–1.13) | |||
| Intercept | 116.43 (3.71) | 103.24 (4.35) | 42.19 (6.95) | 221.04 (9.02) | 160.56 (11.28) | 72.41 (34.28) |
| Gold | 0.23 (3.69) | 0.16 (2.81) | 0.30 (5.83) | |||
| Crude oil | –0.07 (–2.05) | –0.11 (–3.67) | –0.09 (–2.51) | |||
| Intercept | 442.01 (4.70) | 476.96 (8.56) | –6.92 (–0.43) | 550.36 (7.44) | 486.52 (12.65) | 41.01 (7.09) |
| Gold | 0.33 | –0.07 (–0.49) | 0.49*** (3.55) | |||
| Crude oil | 0.03 (0.30) | –0.15** (–2.09) | –0.20* (–1.88) | |||
| Intercept | 246.33 (2.68) | 297.68 (5.68) | 5.98 (0.35) | 342.72 (4.41) | 285.50 (7.33) | 37.49 (5.75) |
| Gold | 0.28 (1.37) | –0.19 (–1.56) | 0.33** (2.37) | |||
| Crude oil | 0.009 (0.10) | –0.21*** (–2.95) | –0.15 (–1.43) | |||
| Intercept | 374.41 (6.44) | 367.27 (12.78) | 35.89 (3.50) | 247.13 (5.74) | 310.61 (12.12) | 42.07 (12.40) |
| Gold | –0.01 (–0.11) | –0.25*** (–3.84) | 0.08 (0.99) | |||
| Crude oil | 0.09 (1.52) | –0.03 (–0.53) | –0.09 (–1.62) | |||
| Intercept | 47.72 (1.16) | 113.48 (4.16) | 56.62 (7.15) | 143.08 (5.28) | 142.30 (8.14) | 71.86 (30.47) |
| Gold | 0.24*** (2.68) | 0.05 (0.76) | 0.17** (2.57) | |||
| Crude oil | –0.03 (–0.75) | –0.10** (–2.58) | –0.10*** (–2.61) | |||
| Intercept | 71.41 (1.14) | 193.61 (4.56) | 52.99 (3.74) | 61.08 (1.06) | 111.58 (2.85) | 42.80 (8.08) |
| Gold | 0.03 (0.23) | –0.40*** (–5.00) | –0.08 (–0.79) | |||
| Crude oil | 0.08 (1.42) | –0.09 (–1.51) | –0.03 (–0.44) | |||
| Intercept | 419.72 (6.91) | 422.58 (12.09) | 87.32 (6.82) | 113.06 (1.90) | 178.33 (3.80) | 19.57 (3.87) |
| Gold | –0.72*** (–4.88) | –0.99*** (–10.92) | –0.62*** (–6.14) | |||
| Crude oil | 0.15** (2.01) | 0.03 (0.36) | 0.007 (0.09) | |||
| Intercept | 157.94 (1.55) | 23.07 (0.35) | 76.09 (4.14) | –155.29 (–3.05) | –172.24 (–4.55) | 23.76 (4.64) |
| Gold | –0.36 (–1.54) | –0.46** (–2.42) | –0.60*** (–3.70) | |||
| Crude oil | 0.57*** (8.32) | –0.50** (–6.71) | 0.44 (4.86) | |||
| Intercept | 444.97 (5.06) | 569.32 (12.99) | 73.66 (4.57) | 277.47 (3.79) | 369.99 (8.04) | 51.61 (9.26) |
| Gold | –0.35* (–1.85) | –0.87*** (–7.61) | –0.20 (–1.42) | |||
| Crude oil | 0.14* (1.84) | –0.07 (–0.87) | –0.007 (–0.08) | |||
Note(s): *** indicates significance at 1% level; ** indicates significance at 5% level; * indicates significance at 10% level. Variables with moderate-to-severe multicollinearity (VIF>10) are avoided in each model. Controls and Fixed Effects are included in each model but not reported. The sample period is the weekly observations from Jan’2020 to Mar’2022. T-statistics values are in parentheses
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.