Table 7 GMM estimates for weekly returns...

Table 7

GMM estimates for weekly returns on Malaysia equity index

Predictor	Coefficient	Std. Err	z-score	P>\|z\|	95% conf. Interval
r_IDN	0.0994	0.130	0.76	0.446	(−0.156, 0.355)
r_PHL	0.3242	0.164	1.98	0.048	(0.003, 0.645)
r_THA	−0.1155	0.159	−0.72	0.469	(−0.428, 0.197)
r_CHN	−0.0315	0.117	−0.27	0.788	(−0.261, 0.198)
r_VNM	−0.0336	0.055	−0.61	0.543	(−0.142, 0.075)
r_KOR	0.3554	0.165	2.15	0.032	(0.031, 0.680)
r_TWN	−0.1113	0.093	−1.20	0.229	(−0.293, 0.070)
r_HKG	0.0309	0.125	0.25	0.805	(−0.214, 0.276)
(lag) r_MYS	0.1447	0.040	3.63	0.000	(0.066, 0.223)
Fixed Effect	−0.0002	0.000	−1.03	0.302	(−0.001, 0.000)

Predictor	Coefficient	Std. Err	z-score	P>\|z\|	95% conf. Interval
r_IDN	0.0994	0.130	0.76	0.446	(−0.156, 0.355)
r_PHL	0.3242	0.164	1.98	0.048	(0.003, 0.645)
r_THA	−0.1155	0.159	−0.72	0.469	(−0.428, 0.197)
r_CHN	−0.0315	0.117	−0.27	0.788	(−0.261, 0.198)
r_VNM	−0.0336	0.055	−0.61	0.543	(−0.142, 0.075)
r_KOR	0.3554	0.165	2.15	0.032	(0.031, 0.680)
r_TWN	−0.1113	0.093	−1.20	0.229	(−0.293, 0.070)
r_HKG	0.0309	0.125	0.25	0.805	(−0.214, 0.276)
(lag) r_MYS	0.1447	0.040	3.63	0.000	(0.066, 0.223)
Fixed Effect	−0.0002	0.000	−1.03	0.302	(−0.001, 0.000)

Note(s): (1) GMM-based instrumental variable regression of returns to Malaysia 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 arises from Korea and the Philippines (both at the 5% 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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