Table 6

Threshold autoregression (availability heuristics)

CountriesThreshold variable (heuristics)Wald-test
Low (0)High (1)
USA−0.194***0.066** 
(−8.038)(2.251)(−6.852) ***
Germany−0.114***0.223*** 
(−5.010)(6.882)(−8.512) ***
Japan−0.145***0.157*** 
(−5.851)(5.166)(−7.702) ***
Brazil−0.182***0.066** 
(−7.427)(2.245)(−6.464) ***
Saudi Arabia0.0400.231***(−5.031) ***
(1.556)(8.238) 
China−0.0390.161*** 
(−1.538)(5.517)(−5.135) ***
Bahrain0.068**0.104***(−0.965)
(2.660)(3.718) 
Pakistan0.0150.237*** 
(0.545)(9.057)(−5.880) ***
Jamaica−0.046*0.015 
(−1.853)(0.478)(−1.545)
Palestine0.131***0.202*** 
(5.018)(7.346)(−1.873) *

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

[ViewLarge]
This Feature Is Available To Subscribers Only

or Create an Account

Close Modal
Close Modal