Table 5 GMM estimates for weekly returns...

Table 5

GMM estimates for weekly returns on Hong Kong equity index

Predictor	Coefficient	Std. Err	z-score	P>\|z\|	95% conf. Interval
r_MYS	0.2898	0.252	1.15	0.251	(−0.205, 0.785)
r_IDN	−0.1811	0.247	−0.73	0.464	(−0.666, 0.304)
r_PHL	0.2855	0.437	0.65	0.514	(−0.571, 1.142)
r_THA	−0.3985	0.378	−1.06	0.291	(−1.139, 0.342)
r_CHN	−0.2185	0.218	−1.00	0.316	(−0.645, 0.208)
r_VNM	0.0030	0.088	0.03	0.973	(−0.170, 0.176)
r_KOR	0.7807	0.287	2.72	0.007	(0.218, 1.343)
r_TWN	−0.1929	0.280	−0.69	0.491	(−0.742, 0.356)
(lag) r_HKG	0.1744	0.063	2.77	0.006	(0.051, 0.298)
Fixed Effect	0.0000	0.000	0.03	0.975	(−0.001, 0.001)

Predictor	Coefficient	Std. Err	z-score	P>\|z\|	95% conf. Interval
r_MYS	0.2898	0.252	1.15	0.251	(−0.205, 0.785)
r_IDN	−0.1811	0.247	−0.73	0.464	(−0.666, 0.304)
r_PHL	0.2855	0.437	0.65	0.514	(−0.571, 1.142)
r_THA	−0.3985	0.378	−1.06	0.291	(−1.139, 0.342)
r_CHN	−0.2185	0.218	−1.00	0.316	(−0.645, 0.208)
r_VNM	0.0030	0.088	0.03	0.973	(−0.170, 0.176)
r_KOR	0.7807	0.287	2.72	0.007	(0.218, 1.343)
r_TWN	−0.1929	0.280	−0.69	0.491	(−0.742, 0.356)
(lag) r_HKG	0.1744	0.063	2.77	0.006	(0.051, 0.298)
Fixed Effect	0.0000	0.000	0.03	0.975	(−0.001, 0.001)

Note(s): (1) GMM-based instrumental variable regression of returns to Hong Kong equity index from other East Asian markets and its own lagged value from the previous week. (2) Estimates indicate that the only (positive) statistically significant influence comes from South Korea (significant at the 1% level). (3) Abbreviations: r_CHN, r_HKG, r_IDN, r_KOR, r_MYS, r_PHL, r_THA, r_TWN and r_VNM denote weekly returns on equity indices for markets in China, Hong Kong, Indonesia, (South) Korea, Malaysia, the Philippines, Thailand, Taiwan and Vietnam, respectively

Source(s): Computations by authors

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