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Table 7 Herding behavior during Ramazan and Financial Crisis

From: Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market

Event

Constant

|Rm,t|

[Rm,t]2

[Rm,t]2 *D

Adj. R2

F-Statistic

Ramzan

(Eq. 11)

0.0154

(84.16)***

0.4848

(15.81)***

3.3582

(3.976) **

−2.872

(−1.401)

0.3983

(595.6)***

2007- Sep 2008 Financial Crisis (Eq. 12)

0.0154

(84.64)***

0.4824

(15.86)***

4.6332

(5.3682)***

−5.3136

(− 6.374)***

0.4069

(617.1)***

  1. ***,** and * denotes to the significance at the level of 1%, 5% and 10% respectively. () contains the t-statistics