Table 7 Short-run dynamics w.r.t....

Table 7

Short-run dynamics w.r.t. NIFTY50 (co-integration relation of indices, in currencies)

			Full data	Phase 1	Phase 2	Phase 3
	S&P 500	Coint. Coefficient	0.001	0.009	−0.004*	−0.006***
		p-value	0.267	0.064	0.049	0.000
	Hang Seng	Coint. Coefficient	0.037**	0.311***	0.102**	0.025
		p-value	0.001	0.000	0.002	0.089
Indices	Singapore STI	Coint. Coefficient	0.003*	0.038***	0.008**	−0.002
		p-value	0.019	0.000	0.004	0.113
	Shanghai Co	Coint. Coefficient	0.012***	0.056***	0.002	0.0001
		p-value	0.000	0.000	0.736	0.931
	FTSE 100 (UK)	Coint. Coefficient	0.006*	0.075***	−0.013	−0.006
		p-value	0.037	0.000	0.080	0.056
	Nikkei 225	Coint. Coefficient	−0.012	0.156***	−0.030	0.012
		p-value	0.112	0.000	0.259	0.281

			Full data	Phase 1	Phase 2	Phase 3
	S&P 500	Coint. Coefficient	0.001	0.009	−0.004*	−0.006***
		p-value	0.267	0.064	0.049	0.000
	Hang Seng	Coint. Coefficient	0.037**	0.311***	0.102**	0.025
		p-value	0.001	0.000	0.002	0.089
Indices	Singapore STI	Coint. Coefficient	0.003*	0.038***	0.008**	−0.002
		p-value	0.019	0.000	0.004	0.113
	Shanghai Co	Coint. Coefficient	0.012***	0.056***	0.002	0.0001
		p-value	0.000	0.000	0.736	0.931
	FTSE 100 (UK)	Coint. Coefficient	0.006*	0.075***	−0.013	−0.006
		p-value	0.037	0.000	0.080	0.056
	Nikkei 225	Coint. Coefficient	−0.012	0.156***	−0.030	0.012
		p-value	0.112	0.000	0.259	0.281

Note(s): * means significant at the 10% level, ** means significant at the 5% level and *** means significant at the 1% level

Source(s): Own elaboration

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