Table 1: Hong Kong crisis - Conditional and Fisher tests
|
country |
P |
∕' |
λ |
Fisher -⅛ — 1 | |
|
Indonesia |
0.31 |
0.60 |
* |
9.7 | |
|
Korea |
0.16 |
0.07 |
+∞ |
_ |
38.7 |
|
Malaysia |
0.20 |
0.43 |
64.5 |
_ |
24.8 |
|
Philippines |
0.22 |
0.66 |
2.6 |
** |
19.8 |
|
Singapore |
0.36 |
0.76 |
1.5 |
** |
6.5 |
|
Thailand |
0.11 |
0.01 |
+∞ |
_ |
88.6 |
|
Argentina |
0.26 |
0.21 |
+∞ |
_ |
13.5 |
|
Brazil |
0.20 |
0.31 |
30,941.3 |
_ |
23.1 |
|
Mexico |
0.29 |
0.45 |
49.3 |
_ |
10.8 |
|
Russia |
0.19 |
0.53 |
13.8 |
* |
26.9 |
|
“USA |
0.15 |
0.26 |
254.0 |
_ |
42.1 |
|
Japan |
0.28 |
0.33 |
7486.5 |
_ |
11.4 |
|
Germany |
0.24 |
0.63 |
4.4 |
** |
16.8 |
|
France |
0.17 |
0.66 |
1.2 |
** |
32.3 |
|
United Kingdom |
0.17 |
0.63 |
2.3 |
** |
33.0 |
|
Italy |
0.00 |
0.63 |
0.00 |
** |
732,762 |
|
Canada |
0.27 |
0.37 |
389.8 |
_ |
12.8 |
Note: p and p are estimated correlation coefficients of two-day rolling
averages of returns in the tranquil and crisis periods; λ is the threshold
variance ratio as defined in the text (for S = 8.72). The fourth column
reports the results of the Fisher test: * (**) indicates that the hypothesis
P'P' ≤ P is rejected at the 5 (1) per cent significance level.
Table 2: Estimations of the variance ratio for Hong Kong
|
У = У |
У |
У | |
|
Cross section: | |||
|
G 7 |
2.8 |
2.9 |
3.2 |
|
Full sample |
2.4 |
2.6 |
2.6 |
|
World stock market index |
3.6 |
3.0 |
4.5 |
|
Principal components: | |||
|
First component |
7.1 | ||
|
First two components |
7.0 | ||
|
First five components |
4.1 | ||
26