Table 9

Results for the inefficiency index for 1,250 observations (Hurst1250)

Inefficiency index (Hurst – 0.50)1,250 obs. window
Models678
Country/Stock Index484646
Observations2,89,59782,89882,898
Coef.P(z)Coef.P(z)Coef.P(z)
Fixed effects
Intercept0.090 0.051 0.063 
Time−0.000***−0.000***−0.000***
Bond yield 10 years  0.003***  
Bond yield 5 years    0.001***
Bond yield spread  −0.003***−0.001**
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*0.007*0.007*
Inflation (INFL)0.003 0.002 0.002 
Property Rights (PROP)−0.005 0.008 0.009 
Strength of Auditing and Reporting (AUDIT)0.043 0.032 0.030 
Strength of Investor Protection (INVEST)0.010*0.011*0.011*
Capital Market Regulation (REG)−0.043 −0.058**−0.055*
Legal Rights (LEGAL)−0.009**−0.008*−0.008*
Random Effects (Estimated Variance)
Country/Stock Index0.002 0.002 0.002 
Observations0.002 0.001 0.001 
Intraclass Correlation Coefficient
Level 2 (Country/Stock Index)0.480 0.604 0.597 
Level 1 (Time)0.520 0.396 0.403 
Robustness Checks
Multilevel × Linear model (χ2)1.5E+05***55347.78***55771.36***
Wald χ290537.98***1117.48***1018.74***

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

Source(s): Research data

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