Table 4 Equation 1 results Inefficiency... | Emerald Publishing

Table 4

Equation 1 results

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

	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.028	***	0.032	***
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002
Observations	0.004		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.354		0.481
Level 1 (Time)	0.646		0.519
Robustness Checks
Multilevel × Linear model (χ²)	1.40E+05	***	1.9E+05	***

	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.028	***	0.032	***
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002
Observations	0.004		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.354		0.481
Level 1 (Time)	0.646		0.519
Robustness Checks
Multilevel × Linear model (χ²)	1.40E+05	***	1.9E+05	***

Note(s): *** sig. 1%. Estimation by restricted maximum likelihood model (REML)

Source(s): Research data