Table 5 Threshold autoregression... | Emerald Publishing

Table 5

Threshold autoregression (overconfidence bias)

Countries	Threshold variable (biases)		Wald-test
	Low (0)	High (1)
USA	−0.096***	−0.057
USA	(−4.672)	(−1.197)	(−0.737)
Germany	−0.033	0.093*
Germany	(−1.598)	(1.936)	(−2.386) **
Japan	−0.079***	0.234***
Japan	(−3.660)	(5.067)	(−6.073) ***
Brazil	−0.134***	0.223***
Brazil	(−6.555)	(4.697)	(−6.833) ***
Saudi Arabia	0.119***	0.206***	(−1.792) *
Saudi Arabia	(5.489)	(4.874)
China	−0.026	0.271***
China	(−1.195)	(6.617)	(−6.249)***
Bahrain	0.077***	0.132**	(−1.114)
Bahrain	(3.639)	(3.052)
Pakistan	0.065**	0.329***
Pakistan	(2.913)	(8.483)	(−5.795) ***
Jamaica	−0.012	−0.071
Jamaica	(−0.542)	(−1.583)	(1.183)
Palestine	0.175***	0.112**
Palestine	(8.061)	(2.611)	(1.294)

Countries	Threshold variable (biases)		Wald-test
	Low (0)	High (1)
USA	−0.096***	−0.057
USA	(−4.672)	(−1.197)	(−0.737)
Germany	−0.033	0.093*
Germany	(−1.598)	(1.936)	(−2.386) **
Japan	−0.079***	0.234***
Japan	(−3.660)	(5.067)	(−6.073) ***
Brazil	−0.134***	0.223***
Brazil	(−6.555)	(4.697)	(−6.833) ***
Saudi Arabia	0.119***	0.206***	(−1.792) *
Saudi Arabia	(5.489)	(4.874)
China	−0.026	0.271***
China	(−1.195)	(6.617)	(−6.249)***
Bahrain	0.077***	0.132**	(−1.114)
Bahrain	(3.639)	(3.052)
Pakistan	0.065**	0.329***
Pakistan	(2.913)	(8.483)	(−5.795) ***
Jamaica	−0.012	−0.071
Jamaica	(−0.542)	(−1.583)	(1.183)
Palestine	0.175***	0.112**
Palestine	(8.061)	(2.611)	(1.294)

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