Table 7

Barrier hypotheses tests

SeriesH1: There is no difference in the conditional mean return before and after a downwards crossing of a barrierH2: There is no difference in the conditional mean return before and after an upwards crossing of a barrierH3: There is no difference in conditional variance before and after a downwards crossing of a barrierH4: There is no difference in conditional variance before and after an upwards crossing of a barrier
Stock market indices
OMX Riga2.0091.9932.4063.008*
OMX Tallin3.208*28.670***0.25738.527***
OMX Vilnius2.0043.749*0.000042.478
Individual stocks
AS LHV Group1.1220.0667.862***0.0006
Coop Pank AS8.845***0.0212.0790.121
Ignitis Grupe AB0.0090.92821.006***0.130
Merko Ehitus2.4294.118**7.546***6.979***
Siauliu Bankas1.6640.6371048.757***273.689***
Tallink Grupp3.641*3.497*6.415**1.049
Tallinna Kuabamaja Grupp2.1900.0182.783*3.552*
Tallinna Sadam0.4345.514**2.2471.778
Telia Lietuva7.898***14.219***176.474***169.493***

Note(s): Table 7 shows the results of a Chi-square test based on the likelihood ratio test of the four different null hypotheses. *, **, *** indicates significance at the 10, 5, and 1% level, respectively

Source(s): Authors' own creation

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