Table 6 Estimation Results of Multiple Regime Regression Models: 01/01/2019–06/30/2020
From: COVID-19 and instability of stock market performance: evidence from the U.S.
| Â | Regime 1 | Regime 2 | ||||
|---|---|---|---|---|---|---|
| Â | (1) | (2) | (3) | (4) | (5) | (6) |
| Â | Estimate | Adjusted \({R}^{2}\) | Breakpoint | Estimate | Adjusted \({R}^{2}\) | Breakpoint |
Panel A:\(\pi =0.20,m=3\mathrm{ breaks}\) | ||||||
 Model I: \({R}_{t}^{S\&P 500}={\beta }_{0}^{S\&P 500}+{\beta }_{1}^{S\&P 500}{DS}_{t-1}^{US}+{\beta }_{2}^{S\&P 500}{R}_{t-1}^{S\&P 500}+{\varepsilon }_{t}\) | ||||||
\({ \widehat{\beta }}_{0}^{S\&P 500}\) | − 0.0017 (0.0014) | 0.0065 | 02/20/2020 [01/02/2020–02/25/2020] | − 0.0232 (0.0076***) | 0.2488 | – |
\({ \widehat{\beta }}_{1}^{S\&P 500}\) | 0.0023 (0.0015) | Â | Â | 0.0166 (0.0054***) | Â | Â |
\({\widehat{\beta }}_{2}^{S\&P 500}\) | − 0.0973 (0.0585*) |  |  | − 0.4766 (0.1108***) |  |  |
 Model II: \({R}_{t}^{DJIA}={\beta }_{0}^{DJIA}+{\beta }_{1}^{DJIA}{{DS}_{t-1}^{US}+\beta }_{2}^{DJIA}{R}_{t-1}^{DJIA}+{\varepsilon }_{t}\) | ||||||
\({\widehat{\beta }}_{0}^{DJIA}\) | − 0.0023 (0.0015) | 0.0124 | 02/21/2020 [12/20/2019–02/25/2020] | − 0.0244 (0.0085***) | 0.2075 | – |
\({ \widehat{\beta }}_{1}^{DJIA}\) | 0.0027 (0.0015*) | Â | Â | 0.0173 (0.0060***) | Â | Â |
\({ \widehat{\beta }}_{2}^{DJIA}\) | − 0.1170 (0.0635*) |  |  | − 0.4333 (0.1158***) |  |  |
Panel B:\(\pi =0.25,m=2\mathrm{ breaks}\) | ||||||
 Model I: \({R}_{t}^{S\&P 500}={\beta }_{0}^{S\&P 500}+{\beta }_{1}^{S\&P 500}{DS}_{t-1}^{US}+{\beta }_{2}^{S\&P 500}{R}_{t-1}^{S\&P 500}+{\varepsilon }_{t}\) | ||||||
\({ \widehat{\beta }}_{0}^{S\&P 500}\) | − 0.0017 (0.0015) | 0.0063 | 02/14/2020 [12/17/2019–02/20/2020] | − 0.0208 (0.0069***) | 0.2367 | – |
\({ \widehat{\beta }}_{1}^{S\&P 500}\) | 0.0023 (0.0015) | Â | Â | 0.0150 (0.0047***) | Â | Â |
\({ \widehat{\beta }}_{2}^{S\&P 500}\) | − 0.0963 (0.0586) |  |  | − 0.4688 (0.1117***) |  |  |
 Model II:\({R}_{t}^{DJIA}={\beta }_{0}^{DJIA}+{\beta }_{1}^{DJIA}{{DS}_{t-1}^{US}+\beta }_{2}^{DJIA}{R}_{t-1}^{DJIA}+{\varepsilon }_{t}\) | ||||||
\({ \widehat{\beta }}_{0}^{DJIA}\) | − 0.0021 (0.0016) | 0.0112 | 02/14/2020 [12/04/2019–02/19/2020] | − 0.0214 (0.0076***) | 0.1963 | – |
\({\widehat{\beta }}_{1}^{DJIA}\) | 0.0026 (0.0016) | Â | Â | 0.0153 (0.0054***) | Â | Â |
\({ \widehat{\beta }}_{2}^{DJIA}\) | − 0.1157 (0.0638*) |  |  | − 0.4235 (0.1149***) |  |  |