Table 4 Vector error correction model for the stock markets of countries of Western Europe Region

Δ AUS

−0.04 [−2.1]

-

−0.03

(−0.03)

[−1.4]

0.2

(−0.13)

[2.4]

−0.05

(−0.04)

[−1.5]

−0.03

(−0.03)

[−0.4]

−0.08

(−0.03)

[−0.8]

−0.02

(−0.0)

[−0.3]

−0.05

(−0.0)

[−2.1]

−0.05

(−0.0)

[−1.8]

0.05

(−0.0)

[1.4]

−0.03

(−0.0)

[−0.8]

−0.13

(−0.0)

[−1.5]

−0.08

(−0.0)

[−1.5]

−0.12

(−0.0)

[−2.4]

−0.02

(−0.0)

[−0.5]

−0.08

(−0.0)

[−1.5]

0.14

(−0.0)

[2.3]

0.03

(−0.0)

[0.4]

Δ BEL

−0.03

[−0.9]

0.03

(−0.0)

[0.6]

-

0.07

(−0.18)

[0.6]

0.08

(−0.06)

[0.8]

0.02

(−0.08)

[0.6]

0.042

(−0.04)

[1.7]

−0.17

(−0.0)

[−2.3]

0.07

(−0.0)

[2.2]

−0.03

(−0.0)

[−0.4]

0.112

(−0.0)

[1.6]

0.05

(−0.0)

[1.3]

−0.06

(−0.1)

[−0.6]

−0.08

(−0.0)

[−1.2]

0.03

(−0.0)

[0.6]

0.04

(−0.0)

[0.8]

−0.03

(−0.0)

[−0.5]

−0.06

(−0.0)

[−0.7]

0.001

(−0.0)

[−0.1]

Δ BTN

−0.08

[−4.7]

0.4

(−0.0)

[8.8]

0.05

(−0.03)

[0.5]

-

−0.1

(−0.04)

[−2.4]

−0.9

(−0.27)

[−1.7]

−0.9

(−0.9)

[−1.6]

0.01

(−0.0)

[0.2]

−0.02

(−0.0)

[−1.1]

−0.08

(−0.0)

[−1.6]

0.006

(−0.0)

[0.1]

−0.07

(−0.0)

[−0.1]

−0.09

(−0.0)

[−1.2]

−0.18

(−0.0)

[−3.8]

−0.06

(−0.04)

[−1.4]

0.05

(−0.0)

[1.4]

−0.01

(−0.05)

[−0.3]

0.12

(−0.05)

[2.2]

0.17

(−0.05)

[3.1]

Δ DMK

0.09

[5.5]

−0.1

(−0.0)

[−2.8]

−0.04

(−0.0)

[−1.6]

−0.03

(−0.0)

[−0.3]

-

0.19

(−0.2)

[0.7]

0.59

(−0.7)

[2.1]

−0.06

(−0.0)

[−1.4]

0.02

(−0.0)

[1.1]

0.21

(−0.0)

[4.3]

−0.01

(−0.0)

[−0.2]

0.04

(−0.0)

[1.3]

0.134

(−0.0)

[1.9]

0.16

(−0.0)

[3.7]

0.11

(−0.0)

[2.8]

0.01

(−0.0)

[0.3]

−0.06

(−0.0)

[−0.1]

0.06

(−0.0)

[1.2]

−0.11

(−0.0)

[−2.3]

Δ FIN

0.08

[2.2]

0.37

(0.08)

[4.4]

−0.06

(−0.0)

[−0.9]

−0.41

(−0.2)

[−2.9]

−0.06

(−0.0)

[−0.7]

-

−0.24

(−0.0)

[−3.6]

−0.27

(−0.1)

[−2.3]

−0.02

(−0.0)

[−0.5]

0.11

(−0.1)

[1.1]

0.10

(−0.1)

[1.8]

−0.19

(−0.0)

[−1.4]

0.15

(−0.1)

[0.6]

0.14

(−0.1)

[1.3]

0.13

(−0.0)

[1.3]

0.13

(−0.0)

[1.5]

−0.13

(−0.1)

[−1.2]

−0.04

(−0.1)

[−0.3]

0.08

(−0.1)

[0.6]

Δ FRN

0.01

[0.6]

−0.07

(−0.0)

[−1.2]

0.01

(−0.0)

[0.4]

0.01

(−0.0)

[0.4]

−0.03

(−0.0)

[−0.5]

0.72

(−0.0)

[1.8]

-

−0.03

(−0.0)

[−0.1]

−0.03

(−0.0)

[−1.1]

0.04

(−0.0)

[0.6]

0.02

(−0.0)

[0.2]

0.01

(−0.0)

[0.3]

0.03

(−0.1)

[0.7]

0.03

(−0.0)

[0.4]

0.04

(−0.0)

[0.6]

0.14

(−0.06)

[1.7]

0.05

(−0.07)

[0.7]

−0.23

(−0.08)

[−2.8]

−0.08

(−0.08)

[−1.3]

Δ GMY

−0.07

[−4.5]

0.13

(−0.03)

[3.75]

0.03

(−0.0)

[1.2]

0.29

(−0.08)

[3.59]

−0.08

(−0.08)

[−2.09]

−0.03

(−0.02)

[−1.54]

−0.01

(−0.02)

[−0.43]

-

−0.01

(−0.0)

[−0.8]

−0.09

(−0.0)

[−2.1]

0.07

(−0.0)

[1.6]

−0.02

(−0.0)

[−0.5]

−0.17

(−0.0)

[−1.6]

0.7

(−0.0)

[8.8]

−0.05

(−0.0)

[−1.2]

0.06

(−0.03)

[1.2]

0.09

(−0.04)

[1.96]

0.09

(−0.05)

[1.86]

0.10

(−0.05)

[2.4]

Δ GRC

0.07

[2.3]

0.33

(−0.07)

[4.5]

0.07

(−0.0)

[1.5]

−0.37

(−0.17)

[−2.1]

0.09

(−0.07)

[0.2]

0.14

(−0.05)

[2.9]

−0.08

(−0.05)

[−1.4]

−0.19

(−0.0)

[−2.0]

-

0.108

(−0.0)

[1.2]

0.04

(−0.0)

[0.4]

0.02

(−0.0)

[0.3]

0.17

(−0.1)

[1.2]

0.28

(−0.0)

[2.3]

0.29

(−0.0)

[3.4]

0.08

(−0.07)

[1.5]

0.03

(−0.09)

[0.3]

−0.26

(−0.1)

[−2.5]

0.09

(−0.1)

[0.9]

Δ IRL

0.07

[1.4]

0.28

(−0.0)

[1.2]

0.06

(−0.0)

[1.7]

−0.23

(−0.1)

[−2.1]

0.01

(−0.0)

[0.5]

0.05

(−0.0)

[0.4]

−0.03

(−0.0)

[−0.9]

−0.11

(−0.0)

[−1.8]

0.04

(−0.0)

[1.6]

-

0.04

(−0.0)

[0.9]

−0.03

(−0.0)

[−0.7]

0.133

(−0.0)

[1.5]

0.08

(−0.0)

[1.5]

0.12

(−0.05)

[2.4]

0.02

(−0.04)

[0.5]

−0.01

(−0.05)

[−0.3]

−0.22

(−0.06)

[−1.5]

0.08

(−0.06)

[1.3]

Δ ITL

−0.06

[−3.4]

0.11

(−0.03)

[2.8]

0.02

(−0.02)

[0.8]

0.35

(−0.08)

[4.4]

−0.04

(−0.04)

[−0.3]

−0.08

(−0.06)

[−0.6]

−0.04

(−0.1)

[−1.7]

0.179

(−0.0)

[3.4]

−0.05

(−0.0)

[−2.2]

−0.03

(−0.0)

[−0.8]

-

−0.03

(−0.0)

[−0.8]

−0.08

(−0.0)

[−1.1]

0.5

(−0.0)

[7.7]

−0.01

(−0.04)

[−0.39]

0.09

(−0.04)

[2.4]

0.13

(−0.04)

[2.6]

0.01

(−0.05)

[0.1]

0.00

(−0.05)

[0.04]

Δ LXM

−0.02

[−1.41]

0.02

(−0.04)

[0.56]

0.09

(−0.03)

[0.28]

0.06

(−0.11)

[0.64]

0.138

(−0.05)

[2.93]

−0.01

(−0.03)

[−0.39]

0.05

(−0.03)

[1.8]

0.13

(−0.0)

[2.3]

−0.05

(−0.0)

[−2.1]

0.09

(−0.0)

[1.7]

0.002

(−0.0)

[0.0]

-

−0.09

(−0.0)

[−1.2]

0.27

(−0.0)

[5.1]

−0.05

(−0.05)

[−1.04]

0.04

(−0.04)

[0.96]

0.01

(−0.05)

[0.19]

0.06

(−0.06)

[1.04]

0.02

(−0.06)

[0.36]

Δ MSCI

0.07

[7.8]

−0.01

(−0.02)

[−0.6]

0.03

(−0.01)

[0.1]

−0.04

(−0.07)

[−0.2]

0.06

(−0.02)

[2.7]

0.06

(−0.4)

[4.39]

−0.03

(−0.05)

[−0.19]

−0.08

(−0.0)

[−3.0]

0.03

(−0.0)

[3.0]

0.16

(−0.0)

[6.4]

0.021

(−0.0)

[0.8]

0.01

(−0.0)

[0.7]

-

0.16

(−0.0)

[6.8]

0.12

(−0.02)

[5.48]

−0.07

(−0.02)

[−1.2]

0.03

(−0.02)

[1.51]

0.07

(−0.03)

[2.4]

0.03

(−0.03)

[1.2]

Δ NTL

0.03

[1.47]

−0.033

(−0.05)

[−0.56]

0.01

(−0.04)

[0.45]

−0.15

(−0.13)

[−1.14]

−0.049

(−0.06)

[−0.77]

0.09

(−0.04)

[2.39]

−0.12

(−0.04)

[−2.8]

−0.33

(−0.0)

[−4.1]

0.08

(−0.0)

[2.3]

0.05

(−0.0)

[0.7]

0.200

(−0.0)

[2.8]

−0.11

(−0.0)

[−1.8]

0.17

(−0.1)

[1.6]

-

−0.02

(−0.06)

[−0.3]

−0.05

(−0.06)

[−0.9]

−0.14

(−0.07)

[−1.9]

−0.14

(−0.08)

[−1.7]

−0.06

(−0.08)

[−0.82]

Δ NRY

0.13

[7.5]

−0.15

(−0.04)

[−3.7]

0.04

(−0.03)

[1.4]

−0.37

(−0.09)

[−4.9]

−0.08

(−0.04)

[−2.6]

0.49

(−0.27)

[1.8]

0.04

(−0.09)

[1.5]

−0.15

(−0.0)

[−2.8]

0.02

(−0.0)

[0.9]

0.35

(−0.0)

[7.1]

0.163

(−0.0)

[3.4]

0.02

(−0.0)

[0.7]

0.22

(−0.0)

[2.9]

0.25

(−0.0)

[5.3]

-

−0.01

(−0.04)

[−0.3]

−0.04

(−0.05)

[−0.9]

0.04

(−0.05)

[0.68]

−0.07

(−0.05)

[−1.2]

Δ PTR

−0.06

[−3.2]

0.03

(−0.04)

[0.87]

−0.025

(−0.03)

[−0.76]

0.36

(−0.1)

[3.6]

−0.08

(−0.04)

[−1.89]

0.03

−0.03

[1.15]

−0.02

(−0.03)

[−0.36]

0.14

(−0.0)

[2.4]

0.03

(−0.0)

[1.1]

−0.04

(−0.0)

[−0.8]

0.03

(−0.0)

[0.5]

−0.03

(−0.0)

[−0.8]

0.03

(−0.0)

[0.4]

0.24

(−0.0)

[4.6]

−0.13

(−0.04)

[−2.71]

-

−0.07

(−0.05)

[−1.42]

0.01

(−0.06)

[0.11]

−0.07

(−0.05)

[−1.2]

Δ SPN

−0.04

[−2.6]

0.52

(−0.05)

[9.3]

0.04

(−0.03)

[1.9]

0.26

(−0.11)

[2.2]

−0.04

(−0.01)

[−0.7]

−0.33

(−0.35)

[−0.9]

−0.09

(−0.7)

[−2.6]

0.04

(−0.0)

[0.6]

−0.01

(−0.0)

[−0.6]

−0.12

(−0.0)

[−1.6]

0.03

(−0.0)

[0.4]

−0.09

(−0.0)

[−1.8]

−0.03

(−0.0)

[−0.2]

−0.05

−0.05

[−0.5]

−0.05

−0.05

[−0.5]

0.13

−0.05

[2.7]

-

0.05

(−0.0)

[0.69]

0.02

(−0.07)

[0.34]

Δ SWN

−0.08

[−2.6]

0.46

(−0.05)

[8.1]

0.039

(−0.04)

[0.9]

0.343

(−0.13)

[2.6]

−0.03

(−0.06)

[−0.6]

−0.02

(−0.03)

[−0.4]

−0.12

(−0.02)

[−2.9]

−0.03

(−0.0)

[−0.3]

−0.03

(−0.0)

[−1.1]

−0.17

(−0.0)

[−2.4

0.06

(−0.0)

[0.8]

−0.06

(−0.0)

[−1.1]

−0.06

(−0.1)

[−0.5]

−0.12

(−0.0)

[−1.7]

−0.06

−0.06

[−0.09]

0.14

−0.05

[2.4]

0.13

−0.07

[1.8]

-

0.19

(−0.08)

[2.4]

Δ SWZ

−0.08

[−4.02]

0.53

(−0.04)

[11.0]

0.04

(−0.03)

[1.12]

0.53

(−0.11)

[4.76]

−0.03

(−0.05)

[−0.63]

−0.03

(−0.03)

[−1.05]

−0.06

(−0.06)

[−1.7]

0.07

(−0.0)

[0.1]

0.01

(−0.0)

[0.5]

−0.25

(−0.0)

[−4.1]

0.02

-(0.0)

[0.3]

−0.27

(−0.5)

[−0.6]

−0.02

(−0.0)

[−0.1]

−0.18

(−0.0)

[−3.2]

−0.09

−0.05

[−1.75]

0.08

−0.05

[1.7]

−0.06

−0.06

[−1.1]

0.09

(−0.07)

[1.4]

-