Table 7 Effects of the financial...

Table 7

Effects of the financial variables on conventional stock returns of G7 countries

Dep. Var	Location	Scale	Quantile level
CON_RET	Location	Scale	Quantile level
			0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9	OLS
CDS_ret	−0.13***	0.02***	−0.17***	−0.15***	−0.14***	−0.14***	−0.13***	−0.13***	−0.12***	−0.11***	−0.10***	−0.13***
	−29.78	6.92	−22.41	−24.98	−27.57	−29.12	−29.78	−29.43	−27.73	−24.49	−18.96	−34.27
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
BONDY_ret	0.02***	−0.01***	0.04***	0.03***	0.03***	0.03***	0.02***	0.02***	0.02***	0.02***	0.01***	−0.00
	8.25	−4.6	7.93	8.31	8.55	8.51	8.18	7.53	6.51	5.06	3	−0.67
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.003	0.501
E/R_ret	−0.20***	0.18***	−0.50***	−0.40***	−0.31***	−0.25***	−0.19***	−0.14***	−0.09***	−0.02	0.08**	−0.21***
	−7.11	9.72	−10.56	−10.13	−9.34	−8.3	−6.88	−5.17	−3.09	−0.66	2.25	−8.88
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.002	0.511	0.025	0.000
USCDS_ret	0.21***	−0.03***	0.26***	0.24***	0.23***	0.22***	0.21***	0.20***	0.19***	0.18***	0.16***	0.19***
	18.17	−4.11	13.59	15.19	16.78	17.75	18.18	17.98	16.98	15.02	11.68	19.18
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
MSCIW_ret	0.66***	−0.14***	0.89***	0.81***	0.75***	0.69***	0.65***	0.61***	0.57***	0.52***	0.44***	0.59***
	32.19	−10.38	26.09	28.47	30.78	31.95	32.06	31.14	28.67	24.58	18.02	37.38
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
VIX_ret	−0.07***	−0.02***	−0.03***	−0.05***	−0.06***	−0.07***	−0.07***	−0.08***	−0.09***	−0.09***	−0.11***	−0.07***
	−20.03	−10.03	−5.61	−9.19	−13.51	−17.12	−20.4	−23.16	−25.03	−25.88	−25.03	−21.79
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
OVX_ret	−0.08***	0.02***	−0.12***	−0.11***	−0.10***	−0.09***	−0.09***	−0.08***	−0.07***	−0.07***	−0.06***	−0.11***
	−14.08	5.14	−11.79	−12.78	−13.68	−14.08	−14.04	−13.49	−12.31	−10.39	−7.41	−22.62
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
C	−5.28***	1.15***	−7.20***	−6.57***	−6.01***	−5.61***	−5.24***	−4.89***	−4.53***	−4.10***	−3.48***	−4.62***
	−27.78	9.41	−22.81	−24.81	−26.72	−27.65	−27.68	−26.78	−24.56	−20.94	−15.19	−31.6
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Dep. Var	Location	Scale	Quantile level
CON_RET	Location	Scale	Quantile level
			0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9	OLS
CDS_ret	−0.13***	0.02***	−0.17***	−0.15***	−0.14***	−0.14***	−0.13***	−0.13***	−0.12***	−0.11***	−0.10***	−0.13***
	−29.78	6.92	−22.41	−24.98	−27.57	−29.12	−29.78	−29.43	−27.73	−24.49	−18.96	−34.27
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
BONDY_ret	0.02***	−0.01***	0.04***	0.03***	0.03***	0.03***	0.02***	0.02***	0.02***	0.02***	0.01***	−0.00
	8.25	−4.6	7.93	8.31	8.55	8.51	8.18	7.53	6.51	5.06	3	−0.67
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.003	0.501
E/R_ret	−0.20***	0.18***	−0.50***	−0.40***	−0.31***	−0.25***	−0.19***	−0.14***	−0.09***	−0.02	0.08**	−0.21***
	−7.11	9.72	−10.56	−10.13	−9.34	−8.3	−6.88	−5.17	−3.09	−0.66	2.25	−8.88
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.002	0.511	0.025	0.000
USCDS_ret	0.21***	−0.03***	0.26***	0.24***	0.23***	0.22***	0.21***	0.20***	0.19***	0.18***	0.16***	0.19***
	18.17	−4.11	13.59	15.19	16.78	17.75	18.18	17.98	16.98	15.02	11.68	19.18
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
MSCIW_ret	0.66***	−0.14***	0.89***	0.81***	0.75***	0.69***	0.65***	0.61***	0.57***	0.52***	0.44***	0.59***
	32.19	−10.38	26.09	28.47	30.78	31.95	32.06	31.14	28.67	24.58	18.02	37.38
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
VIX_ret	−0.07***	−0.02***	−0.03***	−0.05***	−0.06***	−0.07***	−0.07***	−0.08***	−0.09***	−0.09***	−0.11***	−0.07***
	−20.03	−10.03	−5.61	−9.19	−13.51	−17.12	−20.4	−23.16	−25.03	−25.88	−25.03	−21.79
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
OVX_ret	−0.08***	0.02***	−0.12***	−0.11***	−0.10***	−0.09***	−0.09***	−0.08***	−0.07***	−0.07***	−0.06***	−0.11***
	−14.08	5.14	−11.79	−12.78	−13.68	−14.08	−14.04	−13.49	−12.31	−10.39	−7.41	−22.62
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
C	−5.28***	1.15***	−7.20***	−6.57***	−6.01***	−5.61***	−5.24***	−4.89***	−4.53***	−4.10***	−3.48***	−4.62***
	−27.78	9.41	−22.81	−24.81	−26.72	−27.65	−27.68	−26.78	−24.56	−20.94	−15.19	−31.6
	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Note(s): ***, **, * shows 1%, 5%, 10% level of significance

Source(s): Created by the authors

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