Table A1. Pre-Estimation Analysis (with... | Emerald Publishing

Table A1.

Pre-Estimation Analysis (with arithmetic return)

Variable	Obs.	Mean	SD	Min	Max	Dickey-Fuller	Phillips-Perron
Panel 3–1. Descriptive statistics and stationary test
digital^GSVI	209	0.0013402	0.0266363	−0.0974993	0.1082318	−10.293***	−10.098***
return_no_log^VNIndex	209	0.0019366	0.0276952	−0.100349	0.1067649	−10.420***	−10.252***
return_no_log^VN³⁰	209	0.0019294	0.027929	−0.0957926	0.1056291	−10.278***	−10.099***
return_no_log^VN¹⁰⁰	209	0.0013402	0.0266363	−0.0974993	0.1082318	−10.293***	−10.098***

Variable	Obs.	Mean	SD	Min	Max	Dickey-Fuller	Phillips-Perron
Panel 3–1. Descriptive statistics and stationary test
digital^GSVI	209	0.0013402	0.0266363	−0.0974993	0.1082318	−10.293***	−10.098***
return_no_log^VNIndex	209	0.0019366	0.0276952	−0.100349	0.1067649	−10.420***	−10.252***
return_no_log^VN³⁰	209	0.0019294	0.027929	−0.0957926	0.1056291	−10.278***	−10.099***
return_no_log^VN¹⁰⁰	209	0.0013402	0.0266363	−0.0974993	0.1082318	−10.293***	−10.098***

Lag/Rank	FPE	AIC	HQIC	SBIC	LL	Eigenvalue	Trace statistic	5% critical value
Panel 3–2. Optimal lag selection test and co-integration test
Model 1: return_no_log^VNIndex = f(digital^GSVI)
0	0.000796	−1.4603	−1.44719	−1.42788	153.14709		102.5840	15.41
1	0.000543	−1.84355	−1.80421*	−1.74629*	188.39081	0.28860	32.0965	3.76
2	0.000532*	−1.86276*	−1.79719	−1.70066	204.43907	0.14363
3	0.000543	−1.84325	−1.75146	−1.61631
Model 2: return_no_log^VN³⁰= f(digital^GSVI)
0	0.000864	−1.37856	−1.36544	−1.34614	142.94759		102.5878	15.41
1	0.000595	−1.7513	−1.71196*	−1.65404*	178.05028	0.28763	32.3824	3.76
2	0.000588*	−1.76334*	−1.69777	−1.60124	194.24148	0.14481
3	0.0006	−1.74311	−1.65132	−1.51617
Model 3: return_no_log^VN¹⁰⁰ = f(digital^GSVI)
0	0.000878	−1.36155	−1.34843	−1.32913	143.21048		102.8697	15.41
1	0.000597	−1.74862	−1.70928*	−1.65136*	178.55324	0.28928	32.1841	3.76
2	0.000586*	−1.76715*	−1.70159	−1.60505	194.6453	0.14399
3	0.000601	−1.74088	−1.64909	−1.51395

Lag/Rank	FPE	AIC	HQIC	SBIC	LL	Eigenvalue	Trace statistic	5% critical value
Panel 3–2. Optimal lag selection test and co-integration test
Model 1: return_no_log^VNIndex = f(digital^GSVI)
0	0.000796	−1.4603	−1.44719	−1.42788	153.14709		102.5840	15.41
1	0.000543	−1.84355	−1.80421*	−1.74629*	188.39081	0.28860	32.0965	3.76
2	0.000532*	−1.86276*	−1.79719	−1.70066	204.43907	0.14363
3	0.000543	−1.84325	−1.75146	−1.61631
Model 2: return_no_log^VN³⁰= f(digital^GSVI)
0	0.000864	−1.37856	−1.36544	−1.34614	142.94759		102.5878	15.41
1	0.000595	−1.7513	−1.71196*	−1.65404*	178.05028	0.28763	32.3824	3.76
2	0.000588*	−1.76334*	−1.69777	−1.60124	194.24148	0.14481
3	0.0006	−1.74311	−1.65132	−1.51617
Model 3: return_no_log^VN¹⁰⁰ = f(digital^GSVI)
0	0.000878	−1.36155	−1.34843	−1.32913	143.21048		102.8697	15.41
1	0.000597	−1.74862	−1.70928*	−1.65136*	178.55324	0.28928	32.1841	3.76
2	0.000586*	−1.76715*	−1.70159	−1.60505	194.6453	0.14399
3	0.000601	−1.74088	−1.64909	−1.51395

Note(s):

***Indicates that the variable is stationary at significance levels of 1% *is the suggestion of lag-order selection

Source(s): the authors