Note(s): Standard errors in parentheses ***p < 0.01, **p < 0.05 and *p < 0.1. The dependent variable is the natural logarithm of Zscore (LNZSCORE) and the independent variables are the same as the baseline model (see Table 5). The maximum lag used in the robustness check is (100100000). Model (1) describes the error correction model of the dependent variable. Meanwhile, models (2) and (3) describe the long-run and short-run relationship of independent variables