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)
(84.64)***
0.4824
(15.86)***
4.6332
(5.3682)***
−5.3136
(− 6.374)***
0.4069
(617.1)***