Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 4 | Portfolio 5 | |
---|---|---|---|---|---|
Panel A: closeness centrality | |||||
\(\alpha \times 10^{ - 3}\) | 1.123* (0.590) | 0.426 (0.778) | 0.587 (0.749) | 0.735 (0.748) | 1.123* (0.590) |
\(\beta\) | − 0.035 (0.062) | 0.437*** (0.082) | 0.650*** (0.079) | 0.659*** (0.079) | 0.964*** (0.062) |
Adj.R2 | 0.015 | 0.192 | 0.367 | 0.374 | 0.675 |
Observations | 116 | 116 | 116 | 116 | 116 |
Panel B: currency momentum | |||||
\(\alpha \times 10^{ - 3}\) | 0.841 (0.954) | 0.628 (0.729) | 0.974 (0.654) | 0.742 (0.698) | 1.191 (0.785) |
\(\beta\) | 0.743*** (0.101) | 0.517*** (0.077) | 0.468*** (0.069) | 0.381*** (0.073) | 0.394*** (0.082) |
Adj.R2 | 0.317 | 0.227 | 0.281 | 0.183 | 0.158 |
Observations | 116 | 116 | 116 | 116 | 116 |