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Table 2 OLS Estimation and Bai–Perron Structural Break Test Results (with endogenous structural breaks)

From: The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

Countries Break point \({\alpha }_{0,t}\) \({\beta }_{m,t}\) \({\beta }_{er,t}\) \({\beta }_{oil,t}\) R2
OLS estimation
Brazil   0.000126 0.875460*** − 0.146177*** 0.158842**** 0.52
India   0.0000726 0.825930*** − 0.243390*** 0.006493 0.45
Indonesia   − 0.0000999 1.075279*** − 0.137160 0.066054* 0.07
South Africa   − 0.00004995 1.138391*** 0.068018*** 0.107052*** 0.42
Turkey   − 0.0000309 0.932650*** 0.126296*** 0.008531 0.58
Structural break test
Brazil 5/29/1996–2/18/2005 0.000603** 0.642222*** − 0.116007 0.072183*** 0.5
2/21/2005–10/29/2008 0.000413 0.986934*** 0.222943*** 0.254153***
10/30/2008–10/25/2013 − 0.000586** 1.053020*** − 0.061483 0.062233*
10/28/2013–1/27/2020 − 0.000343 1.639746*** − 0.016847 0.247443** 9
India 5/29/1996–7/23/2001 − 0.000514 0.521387*** − 0.035074 0.007515 0.48
7/24/2001–1/27/2020 − 0.0000511 1.007997*** − 0.037511 − 0.002632
Indonesia 5/29/1996–6/11/2013 − 0.000117 1.122839*** − 0.130678** 0.073500* 0.07
6/12/2013–1/27/2020 − 0.00000672 0.681139*** − 0.223451** 0.040255**
South Africa 5/29/1996–5/02/2000 − 0.000233 1.334895*** − 0.014336 − 0.020979 0.44
5/03/2000–5/04/2004 0.000711 0.806143*** 0.211758*** 0.091385***
5/05/2004–2/27/2009 0.000349 1.136216*** 0.029423 0.159178***
3/02/2009–8/19/2014 − 0.000149 1.054967*** − 0.033209 0.046801***
8/20/2014–1/27/2020 − 0.000596 1.157973*** 0.255591*** 0.226009***
Turkey 5/29/1996–12/24/1999 0.000927 1.053471*** − 0.021754 0.050071 0.58
12/27/1999–7/30/2003 − 0.000743 0.904620*** 0.128122*** − 0.059603**
7/31/2003–1/27/2020 − 0.0000776 0.825581*** 0.032943 0.025070***
  1. This table have two estimation results; it reports the OLS regression results of the multi-factor linear model and the Bai–Perron structural break estimates with the break points. Standard errors of the estimated coefficients are corrected for autocorrelation and heteroscedasticity with the Newey–West procedure. The sign of *, ** and *** show the statistical significance at the level of 10%, 5% and 1%, respectively