Table 4

Threshold autoregression (investors sentiments)

CountriesThreshold variable (sentiments)Wald-test
Low (0)High (1)
USA−0.017−0.129*** 
(−0.583)(−5.278)(2.955) **
Germany0.0473−0.036 
(1.639)(−1.441)(2.167) **
Japan0.025−0.071** 
(0.849)(−2.681)(2.414) **
Brazil−0.021−0.092*** 
(−0.719)(−3.672)(1.863) *
Saudi Arabia0.267***0.035 
(9.678)(1.440)(6.304) ***
China0.131***−0.027 
(4.412)(−1.106)(4.067) ***
Bahrain0.112***0.065** 
(3.974)(2.535)(1.237)
Pakistan0.188***0.092*** 
(6.541)(3.697)(2.506) **
Jamaica−0.071**0.041 
(−2.685)(1.449)(−2.873) **
Palestine0.151***0.176*** 
(5.352)(6.769)(−0.651)

Note(s): * = Value significant at (p < 0.1)

** = Value significant at (p < 0.05)

*** = Value Significant at (p < 0.01)

Parenthesis ( ) = t-statistics

Threshold values = Threshold regression coefficient of Return (t−1)

Source(s): Table by authors

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