Table 8 NPS's investment strategy IV...

Table 8

NPS's investment strategy IV

Year	Internal				External
Year	05∼10	11∼15	16∼19	20∼22	05∼10	11∼15	16∼19	20∼22
Variable	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
Variable	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val
Return(t-1)	−0.1002	−3.0651	4.1960	2.3707	−1.4722	−1.8279	−0.1716	0.0539
Return(t-1)	−2.12**	−2.84***	5.09***	3.01***	−2.60**	−1.88*	−1.83*	0.30
Return(t-2)	−2.9841	−1.1887	0.1186	0.0481	−1.1322	−2.0973	−0.7113	−0.0334
Return(t-2)	−3.54***	−1.98**	0.14	0.06	−2.01**	−2.12**	−2.60**	−0.18
Return(t-3)	−1.7131	0.0942	−1.7614	−0.7611	−1.4341	1.3954	−0.0359	0.2196
Return(t-3)	−2.01**	0.09	−2.17**	−0.96	−2.51**	1.40	−0.13	1.22
Return(t-4)	0.3891	1.3442	−1.1277	−0.8952	−1.4205	−1.8445	0.3094	−0.0540
Return(t-4)	0.46	1.24	−1.40	−1.12	−2.48**	−1.89*	1.16	−0.30
Return(t-5)	1.6137	1.5965	−0.2942	−1.2830	0.1943	−0.9765	0.3455	−0.2559
Return(t-5)	1.88*	1.49	−0.37	−1.68*	0.34	−1.01	1.31	−1.47
Return(t-6)	0.3813	0.2691	−1.0845	−0.9135	1.5197	−0.9773	−0.2492	−0.1184
Return(t-6)	0.44	0.25	−1.37	−1.19	2.65***	−1.00	−0.95	−0.68
Return(t-7)	0.9240	0.1758	−0.7338	0.2293	−0.7631	−1.4823	−0.0768	−0.2612
Return(t-7)	1.05	0.16	−0.93	0.29	−1.30	−1.50	−0.29	−1.45
Return(t-8)	−0.6726	−0.3429	−0.4718	−0.1028	−0.7791	0.0378	0.1083	−0.0040
Return(t-8)	−0.78	−0.32	−0.60	−0.13	−1.37	0.04	0.42	−0.02
Return(t-9)	−1.6769	−1.0832	−0.6967	−3.6559	−1.0329	−0.6841	−0.2020	−0.1534
Return(t-9)	−1.94*	−1.00	−0.91	−4.59***	−1.80*	−0.70	−0.79	−0.84
Return(t-10)	−0.8582	0.5707	0.0802	−0.2506	−2.0713	0.0875	0.3168	−0.3026
Return(t-10)	−1.01	0.53	0.11	−0.32	−3.67***	0.09	1.27	−1.69*
Adj R-Sq	0.0885	0.1914	0.1837	0.2533	0.7326	0.5345	0.9410	0.9718

Year	Internal				External
Year	05∼10	11∼15	16∼19	20∼22	05∼10	11∼15	16∼19	20∼22
Variable	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
Variable	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val
Return(t-1)	−0.1002	−3.0651	4.1960	2.3707	−1.4722	−1.8279	−0.1716	0.0539
Return(t-1)	−2.12**	−2.84***	5.09***	3.01***	−2.60**	−1.88*	−1.83*	0.30
Return(t-2)	−2.9841	−1.1887	0.1186	0.0481	−1.1322	−2.0973	−0.7113	−0.0334
Return(t-2)	−3.54***	−1.98**	0.14	0.06	−2.01**	−2.12**	−2.60**	−0.18
Return(t-3)	−1.7131	0.0942	−1.7614	−0.7611	−1.4341	1.3954	−0.0359	0.2196
Return(t-3)	−2.01**	0.09	−2.17**	−0.96	−2.51**	1.40	−0.13	1.22
Return(t-4)	0.3891	1.3442	−1.1277	−0.8952	−1.4205	−1.8445	0.3094	−0.0540
Return(t-4)	0.46	1.24	−1.40	−1.12	−2.48**	−1.89*	1.16	−0.30
Return(t-5)	1.6137	1.5965	−0.2942	−1.2830	0.1943	−0.9765	0.3455	−0.2559
Return(t-5)	1.88*	1.49	−0.37	−1.68*	0.34	−1.01	1.31	−1.47
Return(t-6)	0.3813	0.2691	−1.0845	−0.9135	1.5197	−0.9773	−0.2492	−0.1184
Return(t-6)	0.44	0.25	−1.37	−1.19	2.65***	−1.00	−0.95	−0.68
Return(t-7)	0.9240	0.1758	−0.7338	0.2293	−0.7631	−1.4823	−0.0768	−0.2612
Return(t-7)	1.05	0.16	−0.93	0.29	−1.30	−1.50	−0.29	−1.45
Return(t-8)	−0.6726	−0.3429	−0.4718	−0.1028	−0.7791	0.0378	0.1083	−0.0040
Return(t-8)	−0.78	−0.32	−0.60	−0.13	−1.37	0.04	0.42	−0.02
Return(t-9)	−1.6769	−1.0832	−0.6967	−3.6559	−1.0329	−0.6841	−0.2020	−0.1534
Return(t-9)	−1.94*	−1.00	−0.91	−4.59***	−1.80*	−0.70	−0.79	−0.84
Return(t-10)	−0.8582	0.5707	0.0802	−0.2506	−2.0713	0.0875	0.3168	−0.3026
Return(t-10)	−1.01	0.53	0.11	−0.32	−3.67***	0.09	1.27	−1.69*
Adj R-Sq	0.0885	0.1914	0.1837	0.2533	0.7326	0.5345	0.9410	0.9718

Note(s):

${N I F}_{i, t} = a_{0} + \sum_{m = 1}^{10} β_{1, t - m} ⨯ {R e t u r n}_{i, t - m} + \sum_{m = 1}^{10} β_{2, t - m} ⨯ {N I F}_{i, t - m} + ε_{i, t}$

${N I F}_{i, t}$ is the daily net investment indicator of the NPS, and ${R e t u r n}_{i, t}$ is the daily rate of return of a specific stock on a specific day. The stocks are divided into three groups based on market capitalization. *, ** and *** indicate statistically significant values at the 10%, 5% and 1% levels, respectively

Source(s): Table by authors

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