Driscoll–Kraay test results for conventional stock index return of G7
| Variable | Coefficient | t-statistics | p-value |
|---|---|---|---|
| CDS_ret | −0.1324*** | −28.8 | 0.000 |
| BONDY_ret | 0.0240*** | 8.64 | 0.000 |
| E/R_ret | −0.2043*** | −11.17 | 0.000 |
| USCDS_ret | 0.2077*** | 12.84 | 0.000 |
| MSCIW_ret | 0.6597*** | 22.34 | 0.000 |
| VIX_ret | −0.0733*** | −14.82 | 0.000 |
| OVX_ret | −0.0894*** | −8.34 | 0.000 |
| C | −5.2873*** | −18.77 | 0.000 |
| Variable | Coefficient | ||
|---|---|---|---|
| CDS_ret | −0.1324*** | −28.8 | 0.000 |
| BONDY_ret | 0.0240*** | 8.64 | 0.000 |
| E/R_ret | −0.2043*** | −11.17 | 0.000 |
| USCDS_ret | 0.2077*** | 12.84 | 0.000 |
| MSCIW_ret | 0.6597*** | 22.34 | 0.000 |
| VIX_ret | −0.0733*** | −14.82 | 0.000 |
| OVX_ret | −0.0894*** | −8.34 | 0.000 |
| C | −5.2873*** | −18.77 | 0.000 |
Note(s): *, **, *** show 10%, 5%, %1 level of significance
Source(s): Created by the authors
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