Table 7 Threshold autoregression...

Table 7

Threshold autoregression (disposition effect)

Countries	Threshold variable (framing effects)		Wald-test
	Low (0)	High (1)
USA	−0.037	−0.153***	(3.112) **
USA	(−1.384)	(−5.738)
Germany	0.064**	−0.076**
Germany	(2.353)	(−2.989)	(3.738) ***
Japan	−0.011	−0.038
Japan	(−0.401)	(−1.365)	(0.687)
Brazil	−0.099***	−0.032
Brazil	(−3.808)	(−1.167)	(−1.767) *
Saudi Arabia	0.146***	0.121***	(0.653)
Saudi Arabia	(5.237)	(4.759)
China	−0.049	0.084***
China	(−1.582)	(3.471)	(−3.383) ***
Bahrain	0.117***	0.069**	(1.241)
Bahrain	(4.428)	(0.011)
Pakistan	0.080**	0.174***
Pakistan	(2.927)	(6.780)	(−2.508) **
Jamaica	0.028	−0.085**
Jamaica	(1.065)	(−2.987)	(2.922) **
Palestine	0.208***	0.124***
Palestine	(7.645)	(4.672)	(2.222) **

Countries	Threshold variable (framing effects)		Wald-test
	Low (0)	High (1)
USA	−0.037	−0.153***	(3.112) **
USA	(−1.384)	(−5.738)
Germany	0.064**	−0.076**
Germany	(2.353)	(−2.989)	(3.738) ***
Japan	−0.011	−0.038
Japan	(−0.401)	(−1.365)	(0.687)
Brazil	−0.099***	−0.032
Brazil	(−3.808)	(−1.167)	(−1.767) *
Saudi Arabia	0.146***	0.121***	(0.653)
Saudi Arabia	(5.237)	(4.759)
China	−0.049	0.084***
China	(−1.582)	(3.471)	(−3.383) ***
Bahrain	0.117***	0.069**	(1.241)
Bahrain	(4.428)	(0.011)
Pakistan	0.080**	0.174***
Pakistan	(2.927)	(6.780)	(−2.508) **
Jamaica	0.028	−0.085**
Jamaica	(1.065)	(−2.987)	(2.922) **
Palestine	0.208***	0.124***
Palestine	(7.645)	(4.672)	(2.222) **

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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