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Table 3 Results of testing breaks in market structure and aggregate equity contagion

From: A new analytical approach for identifying market contagion

Country/Region

Short-term slope \(\left( {\hat{\beta }_{L0} } \right)\)

Long-term slope (\(\hat{\gamma }_{L} )\)

Correlatedness slope \(\left( {\hat{\beta }_{L2} } \right)\)

S-classification

Z-statistics

(p value)

Test result

Z-statistics

(p value)

Test result

Z-statistics

(p value)

Test result

Austria

0.5696

(0.5689)

NSB

0.9804

(0.3269)

NLB

1.8002

(0.0718)

NCRB

S-1

Finland

− 0.3412

(0.7329)

NSB

0.9995

(0.3175)

NLB

− 1.7255

(0.0844)

NCRB

S-1

Singapore

− 0.3309

(0.7407)

NSB

0.3752

(0.7075)

NLB

− 0.8731

(0.3826)

NCRB

S-1

Switzerland

0.9030

(0.3665)

NSB

− 0.0959

(0.9236)

NLB

0.5191

(0.6037)

NCRB

S-1

Germany

0.3992

(0.6897)

NSB

0.2844

(0.7761)

NLB

− 2.5688

(0.0102)

CRB

S-2

Sweden

1.1001

(0.2713)

NSB

1.1967

(0.2314)

NLB

3.2396

(0.0012)

CRB

S-2

Canada

0.7982

(0.4247)

NSB

1.9949

(0.0461)

LB

1.9332

(0.0532)

NCRB

S-3

Israel

1.0349

(0.3007)

NSB

5.5676

(0.0001)

LB

1.8911

(0.0586)

NCRB

S-3

Norway

1.4517

(0.1466)

NSB

2.7502

(0.0060)

LB

0.2120

(0.8321)

NCRB

S-3

Japan

3.2586

(0.0011)

SB

1.2034

(0.2288)

NLB

− 0.1057

(0.9158)

NCRB

S-4

Hong Kong

2.1743

(0.0297)

SB

1.7097

(0.0873)

NLB

2.1155

(0.0344)

CRB

S-6

Ireland

3.2761

(0.0011)

SB

1.2718

(0.2034)

NLB

5.7732

(0.0001)

CRB

S-6C

Australia

2.7523

(0.0059)

SB

2.4111

(0.0159)

LB

1.0472

(0.2950)

NCRB

S-7

Belgium

2.5232

(0.0116)

SB

2.6750

(0.0075)

LB

0.6477

(0.5172)

NCRB

S-7C

Italy

2.3155

(0.0206)

SB

2.1128

(0.0346)

LB

1.4285

(0.1532)

NCRB

S-7

Netherlands

3.2921

(0.0010)

SB

3.1973

(0.0014)

LB

− 1.4982

(0.1341)

NCRB

S-7C

UK

4.6282

(0.0001)

SB

2.0424

(0.0411)

LB

1.1758

(0.2397)

NCRB

S-7

Denmark

7.9276

(0.0001)

SB

4.8248

(0.0001)

LB

2.1290

(0.0333)

CRB

S-8C

France

3.7543

(0.0002)

SB

2.5161

(0.0119)

LB

1.9690

(0.0489)

CRB

S-8

New Zealand

2.7614

(0.0058)

SB

2.5294

(0.0114)

LB

3.8960

(0.0001)

CRB

S-8C

Portugal

4.0425

(0.0001)

SB

3.2373

(0.0012)

LB

3.9412

(0.0001)

CRB

S-8C

Spain

3.2326

(0.0012)

SB

5.9617

(0.0001)

LB

3.3640

(0.0008)

CRB

S-8C

  1. This table reports the Z-test statistics with the corresponding p values in parentheses for the short-term (MSR), long-term, and correlatedness parameters at the 5th quantile by equity market in developed countries. “SB,” “LB,” “CRB,” “NSB,” “NLB,” and “NCRB” denote short-term break, long-term break, correlatedness break, no short-term break, no long-term break, and no correlatedness break, respectively. The test results are based on the 5% significance level. In the last column, additional italicized capital letter C is attached to S-classification to denote that the country turns out to have suffered from contagion by Bayesian test