Table 5 Equation 1 results with constant... | Emerald Publishing

Table 5

Equation 1 results with constant characteristics in time

Inefficiency index (Hurst – 0.50)	500 obs. window	1,250 obs. window
Groups/Observations
Country/Stock Index	50	50
Observations	3,39,508	3,02,023

	Coefficient	P(z)	Coefficient	P(z)
Fixed effects
Intercept	0.077	***	0.085	***
Time	0.000	***	0.000	***
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002
Observations	0.003		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.384		0.531
Level 1 (Time)	0.616		0.469
Robustness Checks
Multilevel × Linear model (χ²)	1.06E+05	***	2.20E+05	***
Wald χ² (1)	69657.44	***	94776.45	***

	Coefficient	P(z)	Coefficient	P(z)
Fixed effects
Intercept	0.077	***	0.085	***
Time	0.000	***	0.000	***
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002
Observations	0.003		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.384		0.531
Level 1 (Time)	0.616		0.469
Robustness Checks
Multilevel × Linear model (χ²)	1.06E+05	***	2.20E+05	***
Wald χ² (1)	69657.44	***	94776.45	***

Note(s): *** sig. 1%. Estimation by restricted maximum likelihood model (REML) with unstructured parameters of variance/covariance

Source(s): Research data