Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Cheng, Ke; Yang, Xiaoguang

doi:10.1186/s40854-017-0055-z

Financial Innovation

Table 3 Detailed results of markov switching regressions

From: Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Parameters	Samples	AIC	Standard Error		Transition Possibility
Status			Status 1	Status 2	p11	p12	p21	p22
Argentina	368	−1474	0.001^a	0.003^a	0.982^a	0.040^a	0.018^a	0.960^a
Austria	508	−2303	0.000^a	0.002^a	0.974^a	0.050^a	0.026^a	0.950^a
Australia	508	−2756	0.000^a	0.001^a	0.970^a	0.033^a	0.030^a	0.967^a
Belgium	508	−2519	0.000^a	0.001^a	0.978^a	0.047^a	0.022^a	0.953^a
Brazil	364	−1534	0.001^a	0.002^a	0.978^a	0.115^a	0.022^a	0.885^a
Canada	508	−2670	0.000^a	0.001^a	0.970^a	0.081^a	0.030^a	0.919^a
Switzerland	508	−2620	0.000^a	0.001^a	0.975^a	0.064^a	0.025^a	0.936^a
Chile	432	−2155	0.000^a	0.001^a	0.973^a	0.059^a	0.027^a	0.941^a
China	293	−1165	0.000^a	0.002^a	1.000^a	0.006^a	0.000	0.994^a
Czech	508	−2396	0.000^a	0.002^a	0.972^a	0.095^a	0.028^a	0.905^a
Germany	508	−2363	0.000^a	0.002^a	0.987^a	0.050^a	0.013^a	0.950^a
Denmark	508	−2462	0.000^a	0.001^a	0.972^a	0.076^a	0.028^a	0.924^a
Spain	508	−2399	0.000^a	0.001^a	0.970^a	0.053^a	0.030^a	0.947^a
Finland	508	−2297	0.000^a	0.001^a	0.977^a	0.039^a	0.023^a	0.961^a
France	508	−2432	0.000^a	0.001^a	0.955^a	0.061^a	0.045^a	0.939^a
Greece	508	−2168	0.000	0.002^a	0.991^a	0.005^a	0.009^a	0.995^a
Hungary	508	−2215	0.000^a	0.002^a	0.981^a	0.068^a	0.019^a	0.932^a
Indonesia	465	−2061	0.000^a	0.003^a	0.978^a	0.145^a	0.022^a	0.855^a
Ireland	503	−2363	0.000^a	0.002^a	0.970^a	0.054^a	0.030^a	0.946^a
Israel	503	−2394	0.000^a	0.001^a	0.991^a	0.028^a	0.009^a	0.972^a
India	507	−2181	0.000^a	0.002^a	0.990^a	0.028^a	0.010^a	0.972^a
Italy	507	−2391	0.000^a	0.001^a	0.982^a	0.024^a	0.018^a	0.976^a
Japan	508	−2330	0.000^a	0.003^a	0.991^a	0.116^a	0.009^a	0.884^a
Korea	508	−2307	0.000^a	0.002^a	0.979^a	0.053^a	0.021^a	0.947^a
Mexico	294	−1335	0.000^a	0.002^a	0.987^a	0.045^a	0.013^a	0.955^a
Netherlands	508	−2401	0.000^a	0.001^a	0.964^a	0.064^a	0.036^a	0.936^a
Norway	508	−2322	0.000^a	0.002^a	0.979^a	0.070^a	0.021^a	0.930^a
New Zealand	508	−2981	0.000^a	0.000^a	0.945^a	0.157^a	0.055^a	0.843^a
Poland	508	−2210	0.000^a	0.002^a	0.983^a	0.051^a	0.017^a	0.949^a
Portugal	508	−2580	0.000^a	0.001^a	0.969^a	0.057^a	0.031^a	0.943^a
Russia	170	−633	0.001^a	0.004^a	0.990^a	0.066^a	0.010^a	0.934^a
Sweden	508	−2429	0.000^a	0.001^a	0.981^a	0.041^a	0.019^a	0.959^a
Thailand	508	−2277	0.001^a	0.004^a	0.993^a	0.202^a	0.007^a	0.798^a
Turkey	172	−732	0.001^a	0.000^a	0.968^a	0.861^a	0.032^a	0.139^a
Taiwan	507	−2322	0.000^a	0.001^a	0.982^a	0.035^a	0.018^a	0.965^a
UK	508	−2640	0.000^a	0.001^a	0.976^a	0.052^a	0.024^a	0.948^a
US	508	−2686	0.000^a	0.001^a	0.987^a	0.046^a	0.013^a	0.954^a
Vietnam	309	−1107	0.000^a	0.003^a	0.896^a	0.120^a	0.104^a	0.880^a
South Africa	508	−2451	0.000^a	0.001^a	0.986^a	0.041^a	0.014^a	0.959^a
Parameters	Intercept		Lag of Stock		Short-term Bond		Long-term Bond
Status	Status 1	Status 2	Status 1	Status 2	Status 1	Status 2	Status 1	Status 2
Argentina	0.003^a	−0.004^a	0.165^a	0.101^a	−0.047^a	0.128^a	0.023^a	−0.393^a
Austria	0.005^a	−0.006^a	0.214^a	0.103^a	0.491^a	−1.399^a	−0.327^a	−0.244^a
Australia	0.003^a	−0.001^a	0.261^a	0.006^a	0.015^a	−1.638^a	0.028^a	−0.183^a
Belgium	0.003^a	−0.003^a	0.190^a	0.166^a	0.359^a	−1.125^a	−0.165^a	−0.025^a
Brazil	0.002^a	−0.015^a	0.196^a	−0.138^a	0.819^a	1.187^a	0.025^a	0.631^a
Canada	0.003^a	−0.001^a	0.109^a	0.060^a	−0.172^a	−2.359^a	0.012^a	−0.205^a
Switzerland	0.003^a	−0.005^a	0.114^a	−0.080^a	0.410^a	−1.767^a	−0.171^a	0.044^a
Chile	0.004^a	−0.003^a	0.192^a	0.100^a	0.204^a	−0.577^a	0.028^a	−0.062^a
China	−0.002^a	0.002^a	0.146^a	0.199^a	3.415^a	−0.809^a	−2.131^a	−0.743^a
Czech	0.004^a	−0.006^a	0.246^a	0.206^a	0.219^a	−2.789^a	−0.191^a	0.120^a
Germany	0.003^a	0.001^a	0.093^a	−0.011^a	0.339^a	−2.758^a	−0.308^a	−0.149^a
Denmark	0.004^a	0.000^a	0.111^a	0.108^a	0.410^a	−3.466^a	−0.206^a	0.045^a
Spain	0.002^a	−0.004^a	0.215^a	0.055^a	0.308^a	0.171^a	0.011^a	0.117^a
Finland	0.003^a	−0.004^a	0.216^a	0.092^a	0.633^a	0.342^a	−0.532^a	−0.539^a
France	0.003^a	−0.003^a	0.132^a	0.013^a	0.589^a	0.081^a	−0.251^a	−0.362^a
Greece	0.003^a	−0.007	0.241	0.212^a	0.899	−0.151^a	−0.396^a	0.197^a
Hungary	0.003^a	−0.009^a	0.208^a	0.062^a	−0.117^a	3.166^a	0.232^a	−0.497^a
Indonesia	0.007^a	−0.020^a	0.153^a	−0.258^a	−0.002^a	0.022^a	−0.080^a	−0.464^a
Ireland	0.004^a	−0.008^a	0.165^a	0.135^a	0.034^a	0.304^a	0.039^a	−0.436^a
Israel	0.003^a	−0.002^a	0.151^a	0.141^a	−0.171^a	0.713^a	0.184^a	−0.170^a
India	0.004^a	−0.002^a	0.251^a	0.109^a	0.042^a	0.072^a	−0.056^a	−0.246^a
Italy	0.001^a	−0.004^a	0.218^a	0.127^a	1.021^a	−0.961^a	−0.009^a	0.226^a
Japan	0.001^a	−0.011^a	0.097^a	0.070^a	1.004^a	−1.676^a	−0.787^a	1.407^a
Korea	0.005^a	−0.005^a	0.143^a	0.156^a	−0.303^a	−1.576^a	−0.070^a	1.348^a
Mexico	0.002^a	0.000^a	0.167^a	0.026^a	0.474^a	−0.635^a	−0.018^a	0.210^a
Netherlands	0.002^a	0.001^a	0.214^a	0.022^a	0.631^a	−4.025^a	−0.268^a	−0.116^a
Norway	0.006^a	−0.007^a	0.227^a	0.030^a	−0.874^a	−1.047^a	−0.045^a	−0.041^a
New Zealand	0.002^a	−0.003^a	0.288^a	0.206^a	0.179^a	0.910^a	0.022^a	−0.501^a
Poland	0.002^a	−0.001^a	0.166^a	0.084^a	0.906^a	−2.034^a	−0.049^a	0.907^a
Portugal	0.003^a	−0.007^a	0.244^a	0.108^a	0.438^a	0.074^a	0.140^a	−0.183^a
Russia	0.000^a	0.004^a	0.186^a	0.192^a	1.753^a	−0.353^a	0.923^a	0.518^a
Sweden	0.004^a	−0.002^a	0.090^a	0.009^a	0.015^a	0.091^a	−0.239^a	−0.432^a
Thailand	0.003^a	−0.041^a	0.206^a	−0.265^a	−0.041^a	0.594^a	−0.028^a	−0.150^a
Turkey	0.005^a	−0.055^a	0.056^a	2.663^a	0.772^a	−1.889^a	0.261^a	3.885^a
Taiwan	0.003^a	−0.003^a	0.170^a	0.088^a	−0.002^a	−0.031^a	0.029^a	0.163^a
UK	0.002^a	−0.002^a	0.179^a	0.055^a	0.405^a	−0.418^a	−0.086^a	−0.128^a
US	0.003^a	0.002^a	0.150^a	0.022^a	−0.439^a	−6.529^a	−0.048^a	−0.094^a
Vietnam	−0.003^a	0.005^a	0.276^a	0.333^a	−0.182^a	0.247^a	−0.077^a	−0.221^a
South Africa	0.004^a	−0.007^a	0.155^a	0.015^a	−0.120^a	1.894^a	0.207^a	−0.182^a

^ameans significance with 10% confidential interval

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