Table IV Herding in crisis periods –...

Table IV

Herding in crisis periods – fundamental information

Equation		$C S A D_{f t}^{F U N D} = α + ϒ_{1} R_{m t} + ϒ_{2} \| R_{m t} \| + ϒ_{3} R_{m t}^{2} + ϒ_{4} D^{c r i s i s} R_{m t}^{2} + u_{t}$
Risk factor	Region	ϒ₁	ϒ₂	ϒ₃	ϒ₄	R²
SBM	AP	0.026* (23.602)	0.002 (1.203)	0.302* (3.029)	−0.108 (−1.345)	0.37
SI	AP	0.025* (24.615)	0.002 (1.033)	0.284* (3.117)	−0.100 (−1.365)	0.38
SM	AP	0.017* (24.145)	0.002 (1.183)	0.193* (2.977)	−0.068 (−1.291)	0.39
SOP	AP	0.024* (24.745)	0.002 (1.038)	0.272* (3.094)	−0.095 (−1.339)	0.39
SBM	EU	0.015* (28.795)	0.000 (0.173)	0.105* (3.475)	−0.044** (−1.838)	0.33
SI	EU	0.014* (28.397)	0.000 (0.328)	0.096* (3.451)	−0.038** (−1.711)	0.32
SM	EU	0.012* (30.45)	0.000 (0.363)	0.074* (3.149)	−0.032** (−1.807)	0.33
SOP	EU	0.014* (28.517)	0.000 (0.133)	0.099* (3.391)	−0.041** (−1.836)	0.32
SBM	GB	0.012* (19.746)	0.001 (1.312)	0.130* (2.603)	−0.067** (−1.684)	0.19
SI	GB	0.010* (18.546)	0.001 (1.441)	0.110* (2.407)	−0.054 (−1.502)	0.17
SM	GB	0.008* (18.307)	0.001** (1.747)	0.069* (2.015)	−0.034 (−1.221)	0.17
SOP	GB	0.011* (18.064)	0.001 (1.425)	0.114* (2.383)	−0.056 (−1.486)	0.17
SBM	JP	0.011* (19.796)	0.001 (0.978)	0.060** (1.758)	−0.056* (−2.06)	0.27
SI	JP	0.009* (19.399)	0.001 (1.065)	0.053** (1.727)	−0.049* (−2.013)	0.25
SM	JP	0.006* (17.49)	0.001 (1.303)	0.037** (1.767)	−0.033** (−1.92)	0.20
SOP	JP	0.010* (19.487)	0.001 (1.044)	0.056** (1.686)	−0.053* (−1.997)	0.26
SBM	NA	0.000 (1.601)	0.000 (0.556)	0.030 (1.474)	−0.010 (−0.744)	0.01
SI	NA	0.001* (2.808)	0.000 (0.414)	0.027** (1.715)	−0.011 (−1.011)	0.01
SM	NA	0.001* (11.866)	0.000 (−0.519)	0.022* (2.461)	−0.016* (−2.364)	0.11
SOP	NA	0.001* (5.045)	0.000 (0.281)	0.029* (1.966)	−0.015 (−1.492)	0.03

Equation		$C S A D_{f t}^{F U N D} = α + ϒ_{1} R_{m t} + ϒ_{2} \| R_{m t} \| + ϒ_{3} R_{m t}^{2} + ϒ_{4} D^{c r i s i s} R_{m t}^{2} + u_{t}$
Risk factor	Region	ϒ₁	ϒ₂	ϒ₃	ϒ₄	R²
SBM	AP	0.026* (23.602)	0.002 (1.203)	0.302* (3.029)	−0.108 (−1.345)	0.37
SI	AP	0.025* (24.615)	0.002 (1.033)	0.284* (3.117)	−0.100 (−1.365)	0.38
SM	AP	0.017* (24.145)	0.002 (1.183)	0.193* (2.977)	−0.068 (−1.291)	0.39
SOP	AP	0.024* (24.745)	0.002 (1.038)	0.272* (3.094)	−0.095 (−1.339)	0.39
SBM	EU	0.015* (28.795)	0.000 (0.173)	0.105* (3.475)	−0.044** (−1.838)	0.33
SI	EU	0.014* (28.397)	0.000 (0.328)	0.096* (3.451)	−0.038** (−1.711)	0.32
SM	EU	0.012* (30.45)	0.000 (0.363)	0.074* (3.149)	−0.032** (−1.807)	0.33
SOP	EU	0.014* (28.517)	0.000 (0.133)	0.099* (3.391)	−0.041** (−1.836)	0.32
SBM	GB	0.012* (19.746)	0.001 (1.312)	0.130* (2.603)	−0.067** (−1.684)	0.19
SI	GB	0.010* (18.546)	0.001 (1.441)	0.110* (2.407)	−0.054 (−1.502)	0.17
SM	GB	0.008* (18.307)	0.001** (1.747)	0.069* (2.015)	−0.034 (−1.221)	0.17
SOP	GB	0.011* (18.064)	0.001 (1.425)	0.114* (2.383)	−0.056 (−1.486)	0.17
SBM	JP	0.011* (19.796)	0.001 (0.978)	0.060** (1.758)	−0.056* (−2.06)	0.27
SI	JP	0.009* (19.399)	0.001 (1.065)	0.053** (1.727)	−0.049* (−2.013)	0.25
SM	JP	0.006* (17.49)	0.001 (1.303)	0.037** (1.767)	−0.033** (−1.92)	0.20
SOP	JP	0.010* (19.487)	0.001 (1.044)	0.056** (1.686)	−0.053* (−1.997)	0.26
SBM	NA	0.000 (1.601)	0.000 (0.556)	0.030 (1.474)	−0.010 (−0.744)	0.01
SI	NA	0.001* (2.808)	0.000 (0.414)	0.027** (1.715)	−0.011 (−1.011)	0.01
SM	NA	0.001* (11.866)	0.000 (−0.519)	0.022* (2.461)	−0.016* (−2.364)	0.11
SOP	NA	0.001* (5.045)	0.000 (0.281)	0.029* (1.966)	−0.015 (−1.492)	0.03

Notes: Asymptotic t-statistic appears in parenthesis. The coefficients are estimated using Newey and West (1987) procedures for the estimate of regression coefficients on the robust standard errors for consistent heteroskedasticity and autocorrelation. *,**Statistically significant at the 5 and 10 percent levels, respectively

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