Skip to main content

Table 14 Direct model parameter estimation for Japanese hotel stocks: a short-term sample immediately before and after COVID-19

From: An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks

 

Regime 1

Regime 2

T-Matrix

C1

λ1

k1

C2

λ2

k2

δ1

δ2

FJT

3.228E−03

− 1.350E−04

− 6.536

− 1.243E−02

2.760E−06

− 3.111

− 0.516

− 2.167

IMP

− 2.239E−03

2.190E−05

− 2.731

1.163E−03

− 1.320E−04

− 4.621

1.723

− 1.362

RYL

− 2.324E−03

5.530E−05

− 5.975

− 5.413E−03

− 4.990E−05

− 3.104

− 20.338

− 0.428

KYT

1.021E−02

− 4.150E−05

− 9.027

− 8.209E−03

− 4.590E−05

− 3.143

− 21.407

− 2.444

OL

3.114E−03

− 4.710E−05

− 3.373

6.772E−03

− 8.270E−05

− 6.753

1.667

0.942

SB

− 6.951E−03

− 1.240E−05

− 8.331

− 6.558E−03

− 3.710E−05

− 3.467

− 1.205

− 2.484

KRT

− 1.626E−02

5.280E−05

− 2.976

− 3.888E−03

− 1.400E−04

− 7.234

2.581

0.937

  1. Note that the bold numbers represent statistical significance at 5\(\%\). We obtain statistically significant and negative \(\lambda _1\) or \(\lambda _2\), representing the impact of changes in the number of COVID-19 cases on hotel stock prices in Regime 1 or 2, respectively, except for RYL. In addition, there were a number of cases where the transition probabilities of \(\delta _{1}\) and/or \(\delta _{2}\) were not statistically significant