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*** |