Table 3 Descriptive properties of the time-varying parameters
From: The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries
Mean | SE | Minimum | Maximum | |||
|---|---|---|---|---|---|---|
Brazil | ||||||
\({\beta }_{m,t}\) | 1.061 | 0.372 | 0.398 | 24/09/1998 | 1.853 | 15/04/2015 |
\({\beta }_{oil,t}\) | 0.163 | 0.099 | − 0.052 | 13/11/1997 | 0.327 | 01/11/2017 |
\({\beta }_{er,t}\) | − 0.051 | 0.176 | − 0.374 | 11/09/1998 | 0.453 | 27/10/1997 |
India | ||||||
\({\beta }_{m,t}\) | 0.889 | 0.190 | 0.495 | 11/02/2000 | 1.122 | 23/01/2004 |
\({\beta }_{oil,t}\) | 0.010 | 0.025 | − 0.033 | 17/05/2006 | 0.058 | 19/06/1997 |
\({\beta }_{er,t}\) | − 0.141 | 0.128 | − 0.451 | 03/04/2000 | 0.075 | 02/01/2004 |
Indonesia | ||||||
\({\beta }_{m,t}\) | 0.976 | 0.348 | 0.338 | 05/11/2002 | 1.837 | 27/10/1999 |
\({\beta }_{oil,t}\) | 0.069 | 0.241 | − 0.743 | 01/04/1999 | 0.406 | 05/09/1996 |
\({\beta }_{er,t}\) | − 0.433 | 0.464 | − 2.029 | 09/06/1999 | 0.394 | 22/08/2013 |
South Africa | ||||||
\({\beta }_{m,t}\) | 1.108 | 0.109 | 0.884 | 23/03/2001 | 1.385 | 10/09/1998 |
\({\beta }_{oil,t}\) | 0.227 | 0.090 | − 0.002 | 07/06/1996 | 0.384 | 17/01/2020 |
\({\beta }_{er,t}\) | 0.273 | 0.159 | 0.090 | 26/09/2011 | 0.635 | 03/02/1997 |
Turkey | ||||||
\({\beta }_{m,t}\) | 0.873 | 0.098 | 0.750 | 25/03/2010 | 1.219 | 07/06/1996 |
\({\beta }_{oil,t}\) | 0.054 | 0.081 | − 0.114 | 08/02/2002 | 0.167 | 03/08/2011 |
\({\beta }_{er,t}\) | 0.069 | 0.143 | − 0.107 | 21/01/2008 | 0.438 | 13/08/2018 |