Table 6 Results for the inefficiency... | Emerald Publishing

Table 6

Results for the inefficiency index for 500 observations (Hurst500)

Inefficiency index (Hurst – 0.50)	500 obs. window
Models	1	2	3	4	5
Country/Stock Index	47	47	47	47	47
Observations	2,33,239	2,42,315	84,864	84,864	84,864

	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.042	***	0.046	***	−0.013	*	0.038	***	0.006
Time	0.000	***	0.000	***	0.000	***	0.000	***	0.000	**
Bond yield 10 years	0.001	***					−0.009	***
Bond yield 5 years			0.001	***					−0.004	***
Bond yield spread					0.000		0.009	***	0.005	***
Bond yield spread (t−1)					0.001		0.001		0.001
Bond yield spread (t−2)					0.001		0.001		0.001
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002		0.002		0.002		0.002
Observations	0.002		0.002		0.002		0.002		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.483		0.461		0.532		0.505		0.509
Level 1 (Time)	0.517		0.539		0.468		0.495		0.491
Robustness Checks
Multilevel × Linear model (χ²)	1.2E+05	***	1.2E+05	***	49493.56	***	45745.65	***	47172.82	***
Wald χ²	21130.26	***	25331.86	***	503.54	***	1124.22	***	963.93	***

	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.042	***	0.046	***	−0.013	*	0.038	***	0.006
Time	0.000	***	0.000	***	0.000	***	0.000	***	0.000	**
Bond yield 10 years	0.001	***					−0.009	***
Bond yield 5 years			0.001	***					−0.004	***
Bond yield spread					0.000		0.009	***	0.005	***
Bond yield spread (t−1)					0.001		0.001		0.001
Bond yield spread (t−2)					0.001		0.001		0.001
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002		0.002		0.002		0.002
Observations	0.002		0.002		0.002		0.002		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.483		0.461		0.532		0.505		0.509
Level 1 (Time)	0.517		0.539		0.468		0.495		0.491
Robustness Checks
Multilevel × Linear model (χ²)	1.2E+05	***	1.2E+05	***	49493.56	***	45745.65	***	47172.82	***
Wald χ²	21130.26	***	25331.86	***	503.54	***	1124.22	***	963.93	***

Note(s): * sig. 10%; ** sig. 5%; *** sig. 1%. Estimation by restricted maximum likelihood model (REML)

Source(s): Research data