Table 1 Variables of the study Variable...

Table 1

Variables of the study

Variable		Proxy used	Origin*
Dependent variables
Hurst500	Market Relative inefficiency index 1	Hurst Exponent – 1/2 (estimation of parameter d) calculated by ARFIMA(0,d,0) model (Autoregressive Fractionally Integrated Moving Average – with range between −0.5 and +0.5) of daily selected indexes log-returns by rolling windows of 500 observations	A
Hurst1250	Market Relative inefficiency index 2	Hurst Exponent – 1/2 (estimation of parameter d) calculated by ARFIMA(0,d,0) model (Autoregressive Fractionally Integrated Moving Average – with range between −0.5 and +0.5) of daily selected indexes log-returns by rolling windows of 1,250 observations	A
Country level variables
Interests and risk metrics
BOND10	BondYield (10 years)	Daily Bond Yield of government bonds maturing in 10 years	INV
BOND5	BondYield (5 years)	Daily Bond Yield of government bonds maturing in 5 years	INV
SPREAD	BondYieldSpread	Difference between Bond Yield (10 years) – average (BondYield TNote, Bund10, JPBond10)	INV
Economic and institutional environment metrics
TAX	Total tax rate	Country’s tax rate average in the studied period by combining variables Profit Tax (% of profits), labor tax and other contributions (% of profits) and other taxes (% of profits) by the World Economic Forum (WEF)	GCI
GDP	GDP Growth	Country’s GDP average growth in the studied period	BM
INFL	Inflation	Country’s inflation average index in the studied period	BM
PROP	Property Rights	Average property rights metric as identified by the World Economic Forum's Global Competitiveness Index (WEF-GCI) for each country in the period	GCI
AUDIT	Strength of Auditing and Reporting Standards	Average of metric of Strength of Auditing and Reporting Standards calculated by WEFGCI by country in the period	GCI
INVEST	Strength of Investor Protection Index	Average of WEF-GCI combination of variables Extent of disclosure Index and Ease of shareholder suit index by country in the period	GCI
REG	Capital Market Regulation	Average of Capital Market quality of regulation index by WEF-GCI by country in the period	GCI
LEGAL	Legal Rights Index	Average of Protection of creditors and borrowers in the legal system that eases lending processes by WEF-GCI by country in the períod	GCI

Variable		Proxy used	Origin*
Dependent variables
Hurst500	Market Relative inefficiency index 1	Hurst Exponent – 1/2 (estimation of parameter d) calculated by ARFIMA(0,d,0) model (Autoregressive Fractionally Integrated Moving Average – with range between −0.5 and +0.5) of daily selected indexes log-returns by rolling windows of 500 observations	A
Hurst1250	Market Relative inefficiency index 2	Hurst Exponent – 1/2 (estimation of parameter d) calculated by ARFIMA(0,d,0) model (Autoregressive Fractionally Integrated Moving Average – with range between −0.5 and +0.5) of daily selected indexes log-returns by rolling windows of 1,250 observations	A
Country level variables
Interests and risk metrics
BOND10	BondYield (10 years)	Daily Bond Yield of government bonds maturing in 10 years	INV
BOND5	BondYield (5 years)	Daily Bond Yield of government bonds maturing in 5 years	INV
SPREAD	BondYieldSpread	Difference between Bond Yield (10 years) – average (BondYield TNote, Bund10, JPBond10)	INV
Economic and institutional environment metrics
TAX	Total tax rate	Country’s tax rate average in the studied period by combining variables Profit Tax (% of profits), labor tax and other contributions (% of profits) and other taxes (% of profits) by the World Economic Forum (WEF)	GCI
GDP	GDP Growth	Country’s GDP average growth in the studied period	BM
INFL	Inflation	Country’s inflation average index in the studied period	BM
PROP	Property Rights	Average property rights metric as identified by the World Economic Forum's Global Competitiveness Index (WEF-GCI) for each country in the period	GCI
AUDIT	Strength of Auditing and Reporting Standards	Average of metric of Strength of Auditing and Reporting Standards calculated by WEFGCI by country in the period	GCI
INVEST	Strength of Investor Protection Index	Average of WEF-GCI combination of variables Extent of disclosure Index and Ease of shareholder suit index by country in the period	GCI
REG	Capital Market Regulation	Average of Capital Market quality of regulation index by WEF-GCI by country in the period	GCI
LEGAL	Legal Rights Index	Average of Protection of creditors and borrowers in the legal system that eases lending processes by WEF-GCI by country in the períod	GCI

Note(s): *A = Calculated using as databases: Stooq.com, YahooFinance.com, GoogleFinance.com, Investing.com and bloomberg.com; INV = Investing.com; WB = World Bank; GCI = World Economic Forum Global Competitiveness Index

Source(s): Authors

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