The estimation results of the three probit models incorporating the fundamental variables and the ARMS index
| Model 1 | Model 2 | Model 3 | |||
|---|---|---|---|---|---|
| Dependent variable: CRISIS | |||||
| RETURN | −5.451039*** [0.0000] | RETURN | −5.367026*** [0.0000] | RETURN | −5.265531*** [0.0000] |
| LIQUIDITY | −0.304371*** [0.0000] | LIQUIDITY | −0.295701*** [0.0000] | LIQUIDITY | −0.291344*** [0.0000] |
| VOLATILITY | 57.706228*** [0.0000] | VOLATILITY | 57.75562*** [0.0000] | VOLATILITY | 58.45623*** [0.0000] |
| OPTIMISM* DUMEXPCT | 0.2371369* [0.0711] | OPTIMISM* DUMEXPMT | 0.224369* [0.0689] | OPTIMISM *DUMEXPLT | 0.210078** [0.0232] |
| PESSIMISM*DUMCONTCT | 0.08845** [0.0412] | PESSIMISM *DUMCONTMT | 0.08297** [0.0403] | PESSIMISM *DUMCONTLT | 0.06468*** [0.0000] |
| C | −3.027103*** [0.0000] | C | −3.08792*** [0.0000] | C | −3.14506*** [0.0000] |
| R2 McFadden | 0.60 | R2 McFadden | 0.59 | R2 McFadden | 0.59 |
| LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 |
| Model 1 | Model 2 | Model 3 | |||
|---|---|---|---|---|---|
| Dependent variable: CRISIS | |||||
| RETURN | RETURN | RETURN | |||
| LIQUIDITY | LIQUIDITY | LIQUIDITY | |||
| VOLATILITY | VOLATILITY | VOLATILITY | |||
| OPTIMISM* | OPTIMISM* | OPTIMISM *DUMEXPLT | |||
| PESSIMISM*DUMCONTCT | PESSIMISM *DUMCONTMT | PESSIMISM *DUMCONTLT | |||
| C | C | C | |||
| 0.60 | 0.59 | 0.59 | |||
| LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 | LR stat (prob) | 0.0000 |
Note(s): Values in brackets correspond to p-values
*, ** and *** imply significance at the 10, 5 and 1 percent levels
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