Table 8 Results for the inefficiency...

Table 8

Results for the inefficiency index for 500 observations (Hurst500)

	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.091		0.077		0.052
Time	−0.000	***	−0.000	***	−0.000
Bond yield 10 years			−0.009	***
Bond yield 5 years					−0.004	***
Bond yield spread			0.009	***	0.005	***
Bond yield spread (t−1)			0.001		0.001
Bond yield spread (t−2)			0.001		0.001
Total Tax Rate (TAX)	−0.001		−0.001		−0.001
GDP Growth (GDP)	0.006		0.006		0.006
Inflation (INFL)	0.003		0.003		0.002
Property Rights (PROP)	−0.002		0.017		0.018
Strength of Auditing and Reporting (AUDIT)	0.038		0.020		0.025
Strength of Investor Protection (INVEST)	0.008		0.010	*	0.011	*
Capital Market Regulation (REG)	−0.039		−0.046		−0.053	*
Legal Rights (LEGAL)	−0.010	**	−0.010	**	−0.010	**
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002		0.002
Observations	0.003		0.002		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.339		0.461		0.472
Level 1 (Time)	0.661		0.539		0.528
Robustness Checks
Multilevel × Linear model (χ²)	1.1E+05	***	35828.19	***	37205.55	***
Wald χ²	68143.01	***	1163.32	***	1014.67	***

	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.091		0.077		0.052
Time	−0.000	***	−0.000	***	−0.000
Bond yield 10 years			−0.009	***
Bond yield 5 years					−0.004	***
Bond yield spread			0.009	***	0.005	***
Bond yield spread (t−1)			0.001		0.001
Bond yield spread (t−2)			0.001		0.001
Total Tax Rate (TAX)	−0.001		−0.001		−0.001
GDP Growth (GDP)	0.006		0.006		0.006
Inflation (INFL)	0.003		0.003		0.002
Property Rights (PROP)	−0.002		0.017		0.018
Strength of Auditing and Reporting (AUDIT)	0.038		0.020		0.025
Strength of Investor Protection (INVEST)	0.008		0.010	*	0.011	*
Capital Market Regulation (REG)	−0.039		−0.046		−0.053	*
Legal Rights (LEGAL)	−0.010	**	−0.010	**	−0.010	**
Random Effects (Estimated Variance)
Country/Stock Index	0.002		0.002		0.002
Observations	0.003		0.002		0.002
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)	0.339		0.461		0.472
Level 1 (Time)	0.661		0.539		0.528
Robustness Checks
Multilevel × Linear model (χ²)	1.1E+05	***	35828.19	***	37205.55	***
Wald χ²	68143.01	***	1163.32	***	1014.67	***

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

Source(s): Research data

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