Chapter 5 Conclusions and Suggestions
5.2 Suggestions
5.2.2 For Further Research
First, there are more psychological theories extended by propect theory, which are related to each other. Therefore, further research can combine disposition effect with other theories to test the investors behavior.
Second, disposition effect may exists not only in stock market but also in futures markets. Therefore, future study can focus on other financial markets to test whether the disposition effect exists or not.
Finally, because of the limitations of data collection, we use the developed markets and emerging markets list in MSCI as the global samples to test the disposition effect. If further researchers can challenge this questions to compare the difference among
worldwide markets, it will makes the disposition effect research more intact.
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Appendix A
Table 6
Empirical Results of Developed Markets for x=0.1
it
volume for country i for all past days in the previous 365 days from day t in which it traded in range 1. (
E2it, etc. are defined similarly.)
(November 25, 2002 through November 25, 2005)
Names ofMarkets
α
0β
1β
2β
3β
4β
5β
6β
7β
8 R2(adj)Australia -0.132153 1.69E-09+++ 1.57E-09+++ 2.07E-09+++ N/A 1.44E-09*** 1.40E-09*** 3.50E-09*** N/A 0.273084 t value (-15.303) (13.507) (12.816) (6.261) N/A (14.819) (17.309) (4.120) N/A
Austria 3.17E-09 2.81E-09+++ 2.19E-08++ 3.77E-09 N/A 3.77E-09*** 6.41E-09*** 9.15E-09*** 1.09E-08*** 0.655147 t value (-15.346) (3.243) (2.373) (4.949) N/A (5.303) (8.570) (21.237) (7.465)
Belgium -0.015625 1.07E-08+++ 1.14E-08+++ 9.31E-09+++ 9.11E-09+++ 8.62E-09*** 1.16E-08*** 1.48E-08*** -1.78E-08+++ 0.495952 t value (-18.104) (10.866) (10.614) (7.643) (10.578) (15.218) (16.230) (20.188) (-3.593)
Canada -0.060478 1.61E-09+++ 1.96E-09+++ 2.13E-09+++ 6.55E-09+++ 2.06E-09*** 2.47E-09*** 2.35E-09*** N/A 0.217989 t value (-8.993) (5.676) (6.003) (4.299) (2.708) (9.057) (10.737) (6.059) N/A
Denmark -0.018597 9.68E-09+++ 1.20E-08+++ 9.30E-09+++ 1.11E-08+++ 9.14E-09*** 1.19E-08*** 9.29E-09*** 1.52E-08*** 0.442819 t value (-14.245) (10.231) (10.140) (8.556) (10.311) (13.552) (17.208) (12.992) (7.474)
Finland -0.008185 6.79E-10 -3.95E-10 1.77E-09 9.86E-10 3.91E-10 1.32E-09** 1.34E-09 -8.96E-09++ 0.022771 t value (-1.215) (0.688) (-0.419) (1.338) (1.249) (0.503) (1.982) (1.041) (-2.091) France -0.094711 2.76E-09+++ 4.94E-09+++ 3.37E-09+++ 3.21E-09+++ 1.85E-09*** 1.62E-09*** 4.01E-09*** 6.79E-09 0.086695
t value (-9.605) (8.071) (6.393) (4.156) (8.287) (8.684) (7.345) (3.228) (0.565)
Greece -0.000396 -1.75E-09*** -2.71E-09* -1.98E-09 -1.26E-09* 1.48E-09** 1.36E-09*** 1.77E-09** -5.30E-09+++ 0.242112 t value (-0.343) (-3.135) (-1.870) (-1.322) (-1.677) (2.192) (2.693) (2.056) (-2.683) Hong Kong -0.005274 -4.15E-11** -2.27E-11 -2.57E-11 -2.46E-11 4.66E-11*** 1.09E-10*** 4.94E-11 4.97E-11 0.241961 t value (-1.768) (-2.265) (-0.938) (-0.740) (-0.657) (2.780) (5.094) (1.777) (1.206)
Ireland -0.005972 1.07E-09+++ 3.03E-10 7.92E-10++ 2.71E-09+++ 1.03E-09*** 7.54E-10*** 1.93E-09*** N/A 0.189081 t value (-9.068) (6.927) (0.867) (2.552) (9.663) (8.609) (5.340) (6.082) N/A
Italy -0.199141 1.43E-09+++ 1.93E-09+++ 1.02E-09+++ 1.74E-09+++ 1.19E-09*** 1.45E-09*** 4.84E-10 N/A 0.250993 t value (-11.552) (11.473) (8.923) (5.673) (11.355) (10.617) (14.102) (1.192) N/A
Japan -0.248961 7.56E-10+++ 1.62E-09+++ -1.26E10 8.35E-10++ 1.11E-09*** 1.81E-09*** 1.97E-09*** 1.10E-09 0.463427 t value (-9.163) (6.101) (5.063) (-0.393) (2.425) (9.448) (13.761) (8.167) (1.308)
Luxembourg 2.66E-05 -4.56E-10 -3.10E-09 -5.79E-09 -1.86E-09 -1.61E-09 -2.43E-09+ -2.57E-10 2.19E-08*** -0.004778 t value (0.895) (-1.124) (-0.833) (-1.137) (-1.103) (-0.980) (-1.937) (-0.337) (3.370)
Netherlands 0.028816 -8.23E-10*** -2.10E-09*** 2.19E-10 -3.44E-10 -1.10E-09+++ -7.91E-10++ -2.98E-09 5.89E-08** 0.108214 t value (3.464) (-2.667) (-6.076) (0.615) (-0.764) (-4.071) (-2.417) (-1.569) (2.354)
New Zealand 0.000511 -9.06E-11 9.73E-10 N/A N/A -1.59E-10 1.02E-10 -4.54E-10 N/A 0.007724
t value (0.469) (-0.456) (0.552) N/A N/A (-0.846) (0.515) (-0.255) N/A
Norway -0.026549 2.34E-09+++ 4.59E-09+++ 2.43E-09+++ 3.59E-09+++ 2.45E-09*** 3.11E-09*** 3.80E-09*** 1.99E-09*** 0.429095 t value (-15.037) (6.896) (7.465) (3.982) (9.407) (8.399) (13.470) (16.322) (4.782) Portugal -0.001233 1.68E-10 -1.71E-10 8.09E-11 -3.38E-10** 1.86E-10** -2.00E-10 2.82E-09*** 1.57E-08*** 0.339980 t value (-2.040) (1.804) (-0.940) (0.509) (-2.200) (2.462) (-1.443) (14.535) (6.839) Singapore 0.001512 -1.24E-10*** -1.77E-10*** -1.29E-10** 8.98E-12 -4.25E-11++ 7.21E-11*** 7.62E-11** -3.20E-10*** 0.122059 t value (1.679) (-4.538) (-2.792) (-2.245) (0.137) (-2.346) (3.040) (2.351) (-2.808) Spain -0.134769 4.15E-09+++ 4.64E-09+++ 3.62E-09+++ 4.40E-09+++ 4.05E-09*** 3.85E-09*** 3.58E-09*** 7.42E-09* 0.311262
t value (-16.298) (13.599) (11.521) (12.031) (12.184) (16.058) (16.341) (8.304) (1.146)
Sweden -0.010062 9.07E-11 1.29E-10 -4.94E-10* -8.06E-11 1.30E-10* 4.25E-10*** -2.93E-10+++ 2.99E-09*** 0.198107 t value (-2.974) (0.995) (0.648) (-1.648) (-0.794) (1.907) (5.207) (-2.966) (8.690)
Switzerland -0.038679 3.11E-09+++ 8.37E-09+++ 4.68E-09+++ 3.99E-09+++ 3.98E-09*** 3.97E-09*** -1.59E-09 1.35E-08* 0.121149 t value (-11.182) (7.046) (8.047) (4.968) (4.882) (9.135) (8.814) (-0.883) (1.868)
United Kingdom -0.677802 1.13E-09+++ 1.42E-09+++ 1.33E-09+++ 1.44E-09+++ 1.20E-09*** 1.27E-09*** 1.40E-09*** -1.47E-08 0.251020 t value (-13.799) (11.289) (10.611) (12.477) (15.028) (14.677) (12.307) (6.631) (-0.623)
USA 1.189177 -1.93E-09 -2.11E-09 -1.67E-09 -8.10E-11 -1.85E-09 -3.28E-09++ -2.47E-09 -2.47E-08 0.169823 t value (1.377) (-1.274) (-1.426) (-1.234) (-0.056) (-1.236) (-2.190) (-1.352) (-1.607)
When the symbol match to the expectation and significant, the significant levels are as follows: * means 10%, ** means 5%, *** means 1%.
When the symbol doesn’t match to the expectation and significant, the significant levels are as follows: + means 10%, ++ means 5%, +++ means 1%.
Appendix A, continued
Table 7
Empirical Results of Emerging Markets for x=0.1
it
volume for country i for all past days in the previous 365 days from day t in which it traded in range 1. (
E2it, etc. are defined similarly.)
(November 25, 2002 through November 25, 2005)
Names ofMarkets
α
0β
1β
2β
3β
4β
5β
6β
7β
8 R2(adj)Argentina -0.005247 -1.48E-09*** 2.71E-09+++ -1.50E-09** 3.61E-09+++ 1.59E-09*** 2.73E-09*** 1.77E-09*** 1.99E-09*** 0.217264 t value (-10.374) (-3.471) (4.476) (-2.508) (9.196) (5.499) (10.361) (5.515) (9.455) Brazil -0.058968 3.20E-09+++ 4.44E-10 3.89E-09 -1.41E-08** 7.11E-09*** 5.01E-09*** 8.64E-09*** 1.09E-08*** 0.098973 t value (-8.525) (2.729) (0.309) (1.754) (-2.253) (7.508) (5.875) (6.230) (2.945) Chile -0.003862 -8.32E-11 3.42E-11 -3.64E-09* N/A 1.47E-10*** 9.95E-11** 1.04E-11 8.84E-10*** 0.129008 t value (-4.467) (-1.403) (0.248) (-1.883) N/A (5.164) (2.039) (0.099) (5.235)
China -0.108322 3.64E-10+++ 7.06E-10+++ 5.53E-12 8.40E-11 5.77E-10*** 1.11E-09*** 1.16E-09*** 1.18E-09*** 0.419813 t value (-19.368) (3.980) (4.927) (0.024) (0.200) (6.516) (11.340) (6.688) (13.035)
Czech Republic -0.015849 2.85E-08+++ 8.30E-08+++ -2.79E-07*** 9.08E-07+++ 6.88E-09 6.34E-09 2.39E-08*** 1.23E-07*** 0.489782 t value (-6.515) (4.502) (2.424) (-4.971) (4.682) (1.497) (1.213) (2.925) (12.002) Hungary -0.012283 2.12E-08+++ -9.30E-09 -1.15E-08 2.22E-07+++ 1.15E-08 6.60E-09 2.65E-08*** 3.99E-08*** 0.175632 t value (-2.254) (2.711) (-0.795) (-0.676) (3.398) (1.567) (1.086) (3.761) (7.117)
India -0.004853 -9.12E-10 2.29E-09+ 1.21E-08+++ -4.60E-10 1.55E-09 -4.07E-09+++ -4.47E-09+++ 1.31E-08*** 0.333404
t value (-0.652) (-0.814) (1.714) (5.879) (-0.389) (1.525) (-4.220) (-3.774) (16.395)
Indonesia -0.008286 -5.20E-11** 2.85E-10+++ -3.72E-10*** 4.00E-11 1.85E-11 1.45E-10*** 1.27E-10*** 2.63E-10*** 0.241184 t value (-6.047) (-2.253) (4.331) (-3.965) (1.058) (0.886) (4.902) (6.271) (6.308) Israel -0.002068 -1.88E-09 -4.86E-09* -7.26E-09 1.00E-08 3.75E-09*** -1.27E-09 9.25E-11 1.61E-08*** 0.107666 t value (-0.579) (-1.548) (-1.834) (-1.063) (0.367) (4.362) (-1.151) (0.054) (3.496)
Korea -0.282587 2.11E-09 4.92E-09+++ 6.70E-09++ 3.18E-10 5.32E-09*** 1.81E-09 9.06E-09*** 1.28E-08*** 0.215650 t value (-12.836) (1.259) (2.593) (2.019) (0.143) (3.632) (0.825) (3.238) (8.109) Malaysia 0.000136 -7.57E-10** -1.03E-10 -1.92E-09 N/A -3.84E-11 6.37E-10 2.50E-09*** 5.85E-08*** 0.124127 t value (0.031) (-2.528) (-0.199) (-1.545) N/A (-0.171) (1.550) (3.003) (3.171)
Mexico -0.053549 1.93E-09+++ 1.67E-09+++ 1.71E-09+++ 4.77E-09 3.17E-09*** 2.60E-09*** 1.63E-09*** 5.99E-09*** 0.113714 t value (-8.595) (4.759) (2.956) (2.008) (0.089) (9.123) (6.968) (4.088) (6.599) Pakistan -0.079432 -7.12E-10** -3.94E-09*** -1.82E-09 9.58E-11 9.33E-10*** 2.05E-09*** 3.22E-09*** 4.50E-09*** 0.469254 t value (-11.807) (-2.172) (-4.035) (-1.121) (0.052) (2.992) (6.554) (10.655) (18.569)
Peru 0.008672 -1.12E-09 -3.12E-08 N/A N/A -1.11E-08 -1.13E-08 -3.42E-09 -2.58E-08 0.002992
t value (1.057) (-0.461) (-1.160) N/A N/A (-1.088) (-1.217) (-0.449) (-1.403)
Philippines -0.001068 -2.64E-11 1.14E-10+ -6.62E-11 3.52E-11 4.81E-11 7.49E-11 4.56E-10*** -7.63E-10 0.072527 t value (-3.836) (-0.598) (1.804) (-0.948) (0.761) (1.328) (1.616) (5.043) (-1.072) Poland -0.008586 -1.18E-08*** 1.05E-08+++ 2.49E-10 -2.37E-11 1.27E-08*** 8.22E-09*** 1.06E-08*** -4.71E-08*** 0.259847 t value (-4.713) (-5.172) (3.334) (0.049) (-0.002) (8.459) (6.048) (4.612) (-6.034) Russia 0.063201 -3.57E-09*** -3.78E-09*** -1.35E-08*** 2.70E-08+++ -4.77E-09+++ -2.39E-09+++ -4.00E-09+++ -4.69E-09+++ 0.054816 t value (5.542) (-3.954) (-3.054) (-4.140) (3.942) (-5.251) (-2.991) (-5.138) (-5.666) South Africa -0.266115 1.63E-08+++ 1.61E-08+++ 1.70E-08+++ 1.75E-08++ 1.43E-08*** 1.60E-08*** 1.36E-08*** 1.71E-08** 0.068383 t value (-9.105) (7.801) (6.642) (2.998) (2.428) (7.512) (9.119) (9.412) (2.206) Taiwan 0.181616 -1.22E-09*** 4.72E-10 -2.06E-10 -9.15E-11 -1.52E-09 2.15E-09*** -2.35E-09+++ 9.04E-09*** 0.289318
t value (2.517) (-4.314) (1.263) (-0.342) (-0.305) (-6.616) (6.456) (-5.512) (9.885)
Thailand -0.046504 -3.12E-10** 3.93E-10 6.78E-11 -9.10E-10 5.84E-10*** 6.65E-10*** 1.44E-09*** 2.77E-09*** 0.488163 t value (-16.019) (-2.208) (1.499) (0.123) (-0.530) (7.091) (5.389) (8.247) (16.032) Turkey 0.017381 -8.19E-12*** -4.73E-12*** 1.63E-12 -1.32E-11*** 1.24E-12 3.79E-13 -6.14E-13 4.88E-12*** 0.175574 t value (1.781) (-8.130) (-3.608) (0.547) (-4.532) (1.148) (0.378) (-0.486) (5.902)
Venezuela -0.000546 -1.28E-10 2.50E-10 1.17E-10 1.88E-10+++ 5.28E-10 3.19E-10 1.36E-09 -6.57E-11 0.011503 t value (-4.884) (-0.423) (1.025) (0.950) (2.579) (1.450) (1.604) (1.359) (-0.240)
When the symbol match to the expectation and significant, the significant levels are as follows: * means 10%, ** means 5%, *** means 1%.
When the symbol doesn’t match to the expectation and significant, the significant levels are as follows: + means 10%, ++ means 5%, +++ means 1%.
Appendix B
Table 8
Empirical Results of Developed Markets for x=0.05
it
volume for country i for all past days in the previous 365 days from day t in which it traded in range 1. (
E2it, etc. are defined similarly.)
(November 25, 2002 through November 25, 2005)
Names ofMarkets
α
0β
1β
2β
3β
4β
5β
6β
7β
8 R2(adj)Australia -0.116790 1.48E-09+++ 1.61E-09+++ 1.21E-09+++ 1.73E-09+++ 1.16E-09*** 1.46E-09*** 1.12E-09*** 1.40E-09*** 0.281604 t value (-11.518) (10.337) (10.168) (8.008) (9.172) (7.870) (14.412) (9.326) (11.786) Austria -0.002975 6.63E-09+++ 1.73E-09+ 1.85E-09 1.41E-08+++ 1.44E-09* 6.44E-09*** 6.69E-09*** 8.52E-09*** 0.658219 t value (-18.973) (3.836) (1.751) (1.464) (5.886) (1.670) (6.586) (5.821) (27.950) Belgium -0.017387 1.15E-08+++ 1.50E-08+++ 1.24E-08+++ 1.06E-08+++ 9.18E-09*** 1.09E-08*** 1.07E-08*** 1.41E-08*** 0.483309 t value (-20.260) (10.926) (8.532) (7.079) (15.491) (10.859) (16.897) (10.737) (23.165)
Canada -0.062316 1.59E-09+++ 1.94E-09+++ 1.85E-09+++ 2.24E-09+++ 2.09E-09*** 2.23E-09*** 2.34E-09*** 2.66E-09*** 0.215589 t value (-7.962) (5.583) (3.126) (3.813) (5.923) (6.367) (8.385) (7.589) (9.256) Denmark -0.017728 9.01E-09+++ 9.16E-09+++ 1.20E-08+++ 9.75E-09+++ 8.81E-09*** 8.74E-09*** 1.17E-08*** 1.02E-08*** 0.434762 t value (-14.394) (8.405) (6.849) (6.958) (11.427) (9.042) (10.864) (13.929) (15.868)
Finland -0.016300 3.53E-09+++ -5.71E-11* 1.52E-09 1.64E-09++ -2.20E-09++ 2.45E-09*** 2.45E-09*** 1.65E-09** 0.024256 t value (-3.039) (2.732) (-0.044) (1.128) (2.726) (-2.027) (2.605) (2.677) (2.452) France -0.083539 2.28E-09+++ 3.27E-09+++ 4.35E-09+++ 3.02E-09+++ 1.72E-09*** 1.60E-09*** 1.26E-09*** 2.24E-09*** 0.079331
t value (-9.611) (6.509) (3.391) (3.450) (8.423) (6.210) (5.221) (3.620) (6.187) Greece -0.000470 -1.87E-09** -2.01E-09* -2.77E-09 -1.65E-09* 9.46E-10 3.22E-09*** -3.22E-10 1.74E-09*** 0.241696 t value (-0.500) (-2.259) (-1.695) (-1.355) (-1.907) (1.226) (4.472) (-0.450) (3.152)
Hong Kong -0.005497 -9.00E-11*** 4.07E-11 -4.59E-11 -2.83E-11 6.42E-11*** 3.96E-11* 1.33E-10*** 6.16E-11*** 0.246555 t value (-1.895) (-3.743) (1.059) (-1.160) (-1.392) (3.025) (1.941) (4.333) (3.995) Ireland -0.006647 7.63E-10+++ 2.67E-09+++ -1.30E-09** 1.60E-09+++ 6.99E-10*** 1.57E-09*** 6.64E-10*** 1.30E-09*** 0.180973 t value (-10.205) (3.007) (6.050) (-2.182) (9.260) (3.427) (8.427) (3.388) (7.706) Italy -0.238360 1.34E-09+++ 3.33E-09+++ 1.47E-09+++ 1.72E-09+++ 1.44E-09*** 1.50E-09*** 1.63E-09*** 1.66E-09*** 0.288733 t value (-14.717) (11.180) (13.983) (4.724) (12.254) (12.500) (12.845) (14.915) (14.822)
Japan -0.238472 7.04E-10+++ 1.01E-09+++ 1.71E-09+++ 4.00E-10++ 8.01E-10*** 1.53E-09*** 1.26E-09*** 1.94E-09*** 0.467744 t value (-9.041) (3.246) (2.742) (3.610) (1.846) (4.402) (7.438) (5.825) (14.078) Luxembourg 2.05E-05 9.83E-10 -2.03E-09 -3.45E-09 -2.09E-09 -2.38E-09 9.72E-10 -3.84E-09+++ -1.46E-10 -0.003737 t value (0.830) (0.378) (-0.699) (-0.803) (-1.080) (-1.573) (0.727) (-2.757) (-0.178)
Netherlands 0.028686 -6.91E-10*** -8.08E-10* -3.36E-09*** -2.93E-10 -1.39E-09+++ -5.80E-10++ -1.33E-09+++ -4.93E-10 0.105157 t value (4.957) (-2.777) (-1.844) (-7.863) (-1.127) (-6.055) (-1.994) (-3.644) (-0.896)
New Zealand 0.000429 -3.14E-11 -1.06E-10 8.86E-10 N/A -2.81E-10 5.23E-11 1.36E-10 -2.82E-10 0.02516 t value (0.391) (-0.152) (-0.289) (0.293) N/A (-1.480) (0.253) (0.683) (-1.072)
Norway -0.029456 2.29E-09+++ 3.63E-09+++ 5.63E-09+++ 3.69E-09+++ 2.01E-09*** 3.91E-09*** 3.50E-09*** 3.41E-09*** 0.431319 t value (-17.302) (4.491) (4.898) (6.051) (12.071) (4.860) (9.204) (11.827) (20.242) Portugal 0.000261 -4.14E-10*** 5.99E-10+++ -6.78E-10*** -3.50E-10*** 1.63E-10** 1.36E-10* -1.76E-09+++ 1.87E-09*** 0.292028 t value (0.497) (-3.844) (3.347) (-3.769) (-3.648) (2.362) (1.786) (-6.321) (7.965)
Singapore 0.001526 -1.82E-10*** 9.14E-11 -3.04E-10*** -1.22E-10*** -8.62E-12 -5.09E-11+ 5.00E-11* 5.99E-11** 0.118529 t value (1.554) (-6.128) (1.291) (-3.702) (-3.548) (-0.335) (-1.650) (1.658) (2.523)
Spain -0.134733 3.89E-09+++ 4.49E-09+++ 4.91E-09+++ 3.99E-09+++ 4.10E-09*** 3.97E-09*** 4.10E-09*** 3.60E-09*** 0.309900
t value (-15.864) (11.200) (8.999) (7.833) (14.253) (12.907) (14.825) (14.668) (13.443)
Sweden -0.011984 4.20E-12 2.07E-10 2.46E-10 -9.92E-11 1.64E-10 1.05E-10 5.96E-10*** 2.18E-10*** 0.154498 t value (-3.604) (0.027) (0.661) (0.663) (-1.023) (1.457) (1.065) (5.508) (3.718) Switzerland -0.037848 2.84E-09+++ 4.33E-09+++ 1.02E-08+++ 4.51E-09+++ 2.57E-09*** 5.16E-09*** 5.04E-09*** 1.04E-09* 0.135102 t value (-11.070) (5.139) (4.198) (5.118) (9.539) (4.989) (7.974) (6.402) (1.729)
United Kingdom -0.715961 1.23E-09+++ 1.04E-09+++ 1.75E-09+++ 1.44E-09+++ 1.26E-09*** 1.25E-09*** 1.38E-09*** 1.31E-09*** 0.253651 t value (-14.285) (12.257) (5.774) (10.299) (15.107) (13.988) (13.562) (12.454) (11.166)
USA 1.825878 -2.96E-09* -3.15E-09* -3.50E-09** -2.36E-09 -3.04E-09+ -2.88E-09+ -4.64E-09 -4.00E-09 0.140904 t value (1.987) (-1.819) (-1.952) (-2.011) (-1.604) (-1.936) (-1.742) (-3.060) (-2.254)
When the symbol match to the expectation and significant, the significant levels are as follows: * means 10%, ** means 5%, *** means 1%.
When the symbol doesn’t match to the expectation and significant, the significant levels are as follows: + means 10%, ++ means 5%, +++ means 1%.
Appendix B, continued
Table 9
Empirical Results of Emerging Markets for x=0.05
it
volume for country i for all past days in the previous 365 days from day t in which it traded in range 1. (
E2it, etc. are defined similarly.)
(November 25, 2002 through November 25, 2005)
Names ofMarkets
α
0β
1β
2β
3β
4β
5β
6β
7β
8 R2(adj)Argentina -0.004677 -3.14E-09*** 2.30E-09++ 2.47E-10 1.82E-09+++ 1.17E-09** 1.08E-09* 3.53E-09*** 1.79E-09*** 0.200324 t value (-9.473) (-4.822) (2.541) (0.264) (7.092) (2.018) (2.852) (7.156) (10.517)
Brazil -0.051655 2.77E-09 1.19E-09 1.44E-09 1.30E-10 7.33E-09*** 5.25E-09*** 2.35E-09 8.13E-09*** 0.098446 t value (-5.596) (1.486) (0.423) (0.627) (0.093) (5.362) (2.868) (1.149) (9.779) Chile -0.004365 -1.75E-11 -5.58E-11 4.40E-10 -2.00E-09 2.84E-11 2.93E-10*** -6.10E-12 2.52E-10*** 0.129725 t value (-4.383) (-0.259) (-0.748) (0.775) (-1.086) (0.528) (3.886) (-0.076) (3.306)
China -0.109713 -2.18E-10 9.93E-10+++ 7.24E-10+++ 2.09E-10+ 7.32E-10*** 8.29E-10*** 8.66E-10*** 1.21E-09*** 0.427469 t value (-20.045) (-1.065) (3.935) (2.522) (1.941) (4.144) (4.892) (5.293) (24.164) Cezch Republic -0.027994 3.09E-08++ 5.14E-08++ 9.79E-08++ -5.84E-08* 2.88E-08* 4.66E-08*** -1.36E-08 5.74E-08*** 0.416754 t value (-17.342) (2.280) (2.052) (1.992) (-1.680) (2.680) (5.353) (-1.721) (25.980) Hungary -0.023170 1.77E-08++ 7.28E-08+++ 1.14E-08 -9.57E-09 1.23E-08 3.87E-08*** 8.78E-09 3.58E-08*** 0.170860 t value (-5.144) (2.090) (5.859) (0.687) (-0.922) (1.478) (4.966) (1.342) (8.100) India -0.007662 3.13E-09 -1.53E-09* 5.73E-09++ 3.55E-09+++ -5.65E-09+++ 7.18E-09*** -1.68E-08 5.35E-09*** 0.191817
t value (-0.956) (1.542) (-0.665) (2.185) (4.488) (-2.641) (3.558) (-9.947) (8.232)
Indonesia -0.008344 -1.43E-10*** 3.50E-11 2.55E-10++ -3.30E-11 6.42E-11 1.21E-11 1.87E-10*** 1.52E-10*** 0.230434 t value (-6.365) (-2.644) (0.473) (2.392) (-1.160) (1.184) (0.217) (3.281) (10.741)
Israel 0.000474 -2.17E-09 -2.90E-09 3.57E-10 -9.84E-09*** -4.40E-10 8.38E-09*** -6.50E-09+++ 1.73E-09 0.110560 t value (0.130) (-1.050) (-1.239) (0.088) (-3.006) (-0.273) (4.931) (-3.047) (1.509)
Korea -0.291001 -2.75E-09 7.19E-09++ 5.34E-09 3.10E-09+++ 1.04E-08*** 2.79E-09 -3.11E-09 1.03E-08*** 0.208685 t value (-13.200) (-0.834) (2.141) (1.573) (4.688) (3.217) (0.892) (-1.032) (13.718) Malaysia -6.18E-05 -1.60E-09*** 9.67E-10++ 5.69E-10 -1.62E-09*** -5.11E-10* 1.11E-09** 3.03E-11 1.48E-09*** 0.131887 t value (-0.014) (-4.459) (1.982) (0.851) (-2.642) (-1.769) (2.367) (0.064) (3.872) Mexico -0.050560 9.67E-10 3.46E-09+++ 1.12E-09 1.20E-09+ 3.16E-09*** 2.94E-09*** 2.40E-09*** 2.29E-09*** 0.101390 t value (-8.089) (1.804) (3.589) (1.124) (1.874) (5.628) (5.918) (4.739) (6.582) Pakistan -0.083847 -2.30E-09*** 3.69E-09+++ -7.63E-09*** -2.74E-09*** -3.12E-10 4.06E-09*** -7.47E-10 3.83E-09*** 0.471122 t value (-12.900) (-3.167) (3.250) (-4.392) (-3.884) (-0.409) (4.963) (-1.047) (25.074)
Peru 0.002829 -9.08E-09 3.60E-08 -1.13E-07 2.97E-07 -4.62E-09 4.32E-10 -7.60E-09 -2.59E-09 0.008697
t value (1.022) (-0.867) (0.878) (-1.040) (0.772) (-0.853) (0.090) (-1.367) (-0.850) Philippines -0.001070 -1.51E-10** 1.98E-10++ 3.13E-11 -1.21E-12 3.08E-11 3.86E-11 5.71E-11 2.89E-10*** 0.080714 t value (-3.451) (-2.351) (2.322) (0.250) (-0.035) (0.605) (0.857) (1.086) (5.741) Poland -0.010615 -1.90E-08*** 7.97E-09++ 6.82E-09+ 5.50E-09+++ 1.61E-08*** 1.41E-08*** 6.88E-09 8.94E-09*** 0.232963 t value (-6.607) (-4.388) (2.237) (1.722) (2.920) (5.164) (3.792) (1.340) (5.252) Russia 0.055821 -6.60E-09*** 1.04E-09 -2.04E-09 -5.44E-09*** -5.86E-09+++ -3.31E-09+++ 9.62E-10 -3.85E-09+++ 0.066325 t value (5.055) (-5.356) (0.644) (-0.979) (-3.757) (-5.011) (-2.592) (0.878) (-5.220)
South Africa -0.260877 1.44E-08 1.80E-08+++ 1.36E-08+++ 1.70E-08+++ 1.51E-08*** 1.23E-08*** 1.78E-08*** 1.42E-08*** 0.071986 t value (-7.716) (5.941) (7.117) (4.365) (7.928) (6.318) (4.427) (6.700) (8.132) Taiwan 0.343893 -1.69E-09*** -2.27E-09*** 1.26E-09++ -5.69E-10** -1.48E-09+++ -2.69E-09+++ 3.15E-09*** -6.71E-11 0.224007
t value (4.600) (-3.853) (-4.058) (2.073) (-2.182) (-4.197) (-5.763) (4.990) (-0.229)
Thailand -0.047647 -3.02E-10 4.43E-12 -4.24E-10 4.01E-11 4.69E-10* 1.06E-09*** -3.60E-10 1.93E-09*** 0.479971 t value (-16.529) (-0.964) (0.010) (-0.889) (0.169) (1.846) (4.364) (-1.501) (28.874) Turkey 0.006226 -1.05E-11*** -1.69E-12 -5.89E-12* -4.28E-12*** 1.07E-12 1.71E-12 3.10E-12 1.37E-12** 0.152752 t value (0.684) (-3.362) (-0.438) (-1.826) (-3.812) (0.372) (0.719) (1.351) (2.451) Venezuela -0.000642 -2.08E-10 4.94E-10 6.52E-11 1.88E-10 1.73E-10 1.35E-09*** -4.14E-10 5.07E-10*** 0.011749 t value (-3.111) (-0.601) (0.846) (0.160) (2.671) (0.451) (3.424) (-1.078) (3.833)
When the symbol match to the expectation and significant, the significant levels are as follows: * means 10%, ** means 5%, *** means 1%.
When the symbol doesn’t match to the expectation and significant, the significant levels are as follows: + means 10%, ++ means 5%, +++ means 1%.
Appendix C
Table 10
Empirical Results of Developed Markets for x=0.025
it
volume for country i for all past days in the previous 365 days from day t in which it traded in range 1. (
E2it, etc. are defined similarly.)
(November 25, 2002 through November 25, 2005)
Names ofMarkets
α
0β
1β
2β
3β
4β
5β
6β
7β
8 R2(adj)Australia -0.113590 1.50E-09+++ 1.25E-09+++ 1.90E-09+++ 1.35E-09+++ 9.85E-10*** 1.26E-09*** 1.43E-09*** 1.25E-09*** 0.275867 t value (-10.942) (8.786) (5.552) (7.922) (9.643) (5.040) (7.131) (9.416) (12.841) Austria -0.003016 1.01E-08+++ 3.52E-09 2.66E-09+ 3.42E-09+++ -6.03E-11 3.50E-09** 2.57E-09* 8.27E-09*** 0.660390 t value (-21.370) (3.577) (1.058) (1.774) (3.582) (-0.037) (2.178) (1.699) (31.457) Belgium -0.017302 1.03E-08+++ 1.24E-08+++ 1.90E-08+++ 1.09E-08+++ 1.08E-08*** 6.51E-09*** 1.01E-08*** 1.29E-08*** 0.476950 t value (-20.120) (6.953) (5.060) (7.117) (16.215) (8.796) (4.414) (10.803) (23.706) Canada -0.063304 2.52E-09+++ 1.28E-09++ 1.74E-09+ 2.18E-09+++ 6.57E-10 3.18E-09*** 1.97E-09*** 2.48E-09*** 0.218417 t value (-8.250) (4.278) (1.992) (1.840) (6.687) (1.191) (5.983) (5.558) (9.961) Denmark -0.017363 1.03E-08+++ 7.15E-09+++ 1.04E-08+++ 9.84E-09+++ 6.04E-09*** 1.15E-08*** 7.11E-09*** 1.03E-08*** 0.432624 t value (-14.691) (6.338) (3.852) (5.082) (11.472) (4.146) (6.574) (5.082) (17.840) Finland -0.018086 4.02E-09++ 4.13E-09++ 1.68E-09 1.55E-09+++ -6.06E-09+++ 2.35E-09* -1.01E-10 2.40E-09*** 0.030532 t value (-4.443) (2.050) (1.994) (1.073) (4.079) (-3.289) (1.893) (-0.095) (5.182) France -0.078139 2.30E-09+++ 1.26E-09 4.79E-09+++ 2.96E-09+++ 1.88E-09*** 1.43E-09** 1.09E-09* 1.64E-09*** 0.077284
t value (-9.562) (2.953) (1.106) (2.927) (8.791) (2.641) (2.126) (1.898) (8.376) Greece -0.000480 -1.85E-09 -6.45E-10 -2.90E-09 -1.81E-09** -8.12E-10 2.31E-09 3.28E-09*** 1.26E-09*** 0.238714 t value (-0.529) (-1.129) (-0.333) (-1.387) (-2.126) (-0.541) (1.643) (2.808) (3.106)
Hong Kong -0.006154 -6.94E-11 -1.29E-11 -4.26E-11 -1.79E-11 -3.45E-11 2.02E-10*** 2.67E-11 7.76E-11*** 0.256282 t value (-2.133) (-1.528) (-0.212) (-0.749) (-1.001) (-0.828) (5.223) (0.900) (5.615)
Ireland -0.003319 4.48E-10 5.75E-10 2.80E-10 4.02E-10++ 6.77E-10** 4.64E-11*** 1.21E-11* 1.48E-11*** 0.063933 t value (-5.273) (1.260) (0.833) (0.331) (2.396) (2.347) (4.052) (1.702) (4.845) Italy -0.232290 8.21E-10+++ 1.73E-09+++ 3.83E-09+++ 1.70E-09+++ 1.71E-09*** 1.32E-09*** 1.28E-09*** 1.60E-09*** 0.287630 t value (-14.562) (3.436) (5.749) (9.763) (12.100) (8.246) (7.770) (7.663) (16.643) Japan -0.235114 -9.36E-11 1.52E-09+++ 1.30E-09+++ 6.44E-10+++ 6.89E-10** 1.65E-09*** 4.55E-10 1.73E-09*** 0.462338 t value (-8.830) (-0.239) (3.321) (2.443) (3.144) (2.015) (4.724) (1.341) (14.732) Luxembourg 1.70E-05 2.91E-09 -3.26E-09 2.46E-10 -2.13E-09 -2.73E-09 -1.86E-09 -7.76E-10 -2.71E-10 -0.003333 t value (0.751) (1.108) (-0.704) (0.051) (-1.002) (-1.115) (-0.602) (-0.271) (-0.154)
Netherlands 0.043502 -2.38E-09*** 1.32E-09 -3.69E-09*** -1.28E-09*** -2.77E-09+++ -3.87E-10 -1.68E-09+++ -1.34E-09+++ 0.091149 t value (7.752) (-4.481) (1.909) (-4.787) (-6.359) (-5.761) (-0.768) (-3.296) (-5.792) New Zealand -4.28E-05 -5.10E-11 2.42E-10 -1.87E-10 1.18E-10 -2.11E-10 -1.11E-10 1.68E-10 1.04E-10 0.021702 t value (-0.039) (-0.207) (0.844) (-0.338) (0.118) (-1.050) (-0.484) (0.694) (0.538)
Norway -0.027980 2.44E-09 2.29E-09 4.06E-09+++ 3.71E-09+++ 1.21E-09 2.71E-09*** 3.40E-09*** 3.33E-09*** 0.428489 t value (-18.016) (1.282) (1.420) (3.569) (14.627) (1.309) (3.161) (4.588) (21.174) Portugal -0.003003 9.87E-11 1.62E-10 1.29E-09+++ 2.19E-10+ -2.58E-11 1.04E-09*** -3.71E-10+ 1.00E-09*** 0.147377 t value (-4.337) (0.415) (0.530) (3.326) (1.648) (-0.119) (4.307) (-1.878) (8.714)
Singapore 0.001196 -1.54E-10* -1.50E-10* 1.19E-10 -1.27E-10*** -3.87E-11 -2.79E-12 -7.22E-11+ 4.55E-11*** 0.110974 t value (1.347) (-2.566) (-1.720) (0.913) (-3.740) (-0.752) (-0.061) (-1.775) (2.657)
Spain -0.123434 3.84E-09+++ 4.82E-09+++ 3.25E-09+++ 3.79E-09+++ 2.30E-09*** 4.82E-09*** 4.13E-09*** 3.50E-09*** 0.317895
t value (-16.124) (6.623) (6.651) (3.728) (13.776) (4.031) (9.390) (10.635) (16.766) Sweden -0.009150 5.31E-10 -5.04E-10 3.96E-10 -1.09E-10 -6.08E-12 1.75E-10 1.07E-10 2.74E-10*** 0.145223 t value (-2.825) (1.565) (-1.156) (0.875) (-1.207) (-0.022) (0.704) (0.556) (5.116)
Switzerland -0.035034 2.08E-09 4.13E-09++ 3.27E-09+ 5.13E-09+++ 8.94E-10 3.98E-09*** 5.97E-09*** 2.95E-09*** 0.118178 t value (-10.661) (1.148) (2.036) (1.685) (12.183) (0.659) (3.241) (5.485) (8.896)
United Kingdom -0.635263 1.31E-09+++ 1.05E-09+++ 4.74E-10 1.33E-09+++ 7.55E-10*** 1.49E-09*** 9.11E-10*** 1.20E-09*** 0.265776 t value (-13.585) (8.721) (6.078) (1.629) (14.191) (5.401) (11.629) (7.851) (13.561) USA 1.058182 -2.46E-09 -4.32E-10 -3.44E-09** -1.27E-09 -1.76E-09 -1.50E-09 -8.76E-10 -2.77E-09+ 0.143405 t value (1.262) (-1.581) (-0.298) (-1.974) (-0.932) (-1.238) (-1.032) (-0.572) (-1.868)
When the symbol match to the expectation and significant, the significant levels are as follows: * means 10%, ** means 5%, *** means 1%.
When the symbol doesn’t match to the expectation and significant, the significant levels are as follows: + means 10%, ++ means 5%, +++ means 1%.
Appendix C, continued
Table 11
Empirical Results of Emerging Markets for x=0.025
it
volume for country i for all past days in the previous 365 days from day t in which it traded in range 1. (
E2it, etc. are defined similarly.)
(November 25, 2002 through November 25, 2005)
Names ofMarkets
α
0β
1β
2β
3β
4β
5β
6β
7β
8 R2(adj)Argentina -0.004799 -3.33E-09*** -3.52E-09*** 1.35E-09 1.85E-09 4.56E-10 2.33E-09** 2.11E-09** 1.96E-09*** 0.191974 t value (-9.773) (-2.836) (-2.583) (0.986) (7.744) (0.437) (2.154) (2.317) (12.317)
Brazil -0.044771 2.38E-09 5.40E-09 -1.96E-09 3.02E-10 1.81E-09 1.05E-08** 8.42E-10 6.19E-09*** 0.092343 t value (-4.106) (0.441) (0.811) (-0.351) (0.194) (0.426) (2.252) (0.223) (5.994) Chile -0.003449 -1.90E-10** 1.45E-10 -7.09E-11 -1.25E-10** 1.33E-11 1.50E-10 1.77E-10** 1.33E-10*** 0.123943 t value (-5.033) (-2.533) (1.272) (-0.938) (-2.428) (0.111) (1.167) (2.138) (4.395) China -0.107125 -1.23E-09*** 9.04E-10++ 9.57E-10++ 4.50E-10+++ 1.15E-09*** 5.25E-10 2.05E-10 1.14E-09*** 0.427260 t value (-19.502) (-3.192) (2.154) (2.200) (6.457) (3.376) (1.437) (0.751) (26.581)
Czech Republic -0.030723 4.43E-08+ 1.07E-07+++ 3.58E-08 2.32E-08++ -1.28E-08 7.00E-08*** -2.03E-08 4.93E-08*** 0.371536
t value (-15.618) (1.752) (3.116) (0.873) (2.159) (-0.581) (3.079) (-1.222) (14.542) Hungary -0.025679 2.71E-09 5.86E-08+++ 9.78E-08+++ 1.38E-08+ -2.30E-08+ 3.94E-08*** 3.64E-08*** 3.33E-08*** 0.152689 t value (-5.868) (0.206) (3.600) (5.013) (1.926) (-1.720) (3.069) (3.045) (7.559)
India -0.018866 4.60E-09 1.02E-08 -4.78E-09 4.00E-09 -1.15E-08++ -9.28E-10 -3.26E-09 2.80E-09*** 0.050951
t value (-2.170) (1.017) (1.986) (-1.066) (5.641) (-2.443) (-0.194) (-0.828) (4.098)
Indonesia -0.008382 -2.27E-10** -4.75E-11 1.88E-10 7.61E-13 -8.72E-11 2.52E-10** -7.06E-11 1.48E-10*** 0.226423 t value (-6.516) (-2.245) (-0.413) (1.718) (0.031) (-0.994) (2.329) (-0.763) (11.297) Israel -0.000758 -2.35E-09 5.66E-09 -6.24E-09 -4.09E-09** -7.71E-09++ 8.32E-09** 6.16E-09** 3.94E-10 0.104952 t value (-0.220) (-0.553) (1.023) (-1.403) (-2.516) (-2.155) (2.234) (2.039) (0.497) Korea -0.300927 -1.04E-09 6.07E-09 1.30E-08++ 3.50E-09+++ -1.08E-08+ 2.35E-08*** -8.36E-09 7.94E-09*** 0.201556 t value (-18.276) (-0.171) (0.946) (2.338) (10.134) (-1.878) (3.779) (-1.614) (12.522) Malaysia -0.006630 -2.42E-09*** 5.22E-11 1.06E-09 3.96E-12 1.23E-09** 4.42E-10 -8.45E-10 1.45E-09*** 0.133368 t value (-1.654) (-4.214) (0.068) (1.079) (0.011) (2.079) (0.725) (-1.209) (5.786)
Mexico -0.051505 8.93E-10 2.95E-09 1.95E-09 1.74E-09+++ 1.56E-09 4.62E-09*** 3.22E-09*** 2.42E-09*** 0.101581 t value (-8.344) (0.758) (1.923) (1.189) (3.929) (1.441) (4.645) (3.967) (7.841)
Pakistan -0.085355 -3.13E-09* -1.20E-09 5.32E-09+++ -3.12E-09*** -3.45E-09++ 5.42E-09*** -2.20E-09 3.38E-09*** 0.452868 t value (-13.054) (-1.808) (-0.606) (2.619) (-7.641) (-2.003) (2.990) (-1.512) (23.705) Peru 0.002263 9.65E-09++ -6.44E-08 9.67E-08 -3.34E-08 -8.84E-09 2.25E-09 -4.67E-09 -2.66E-09 0.012131 t value (0.786) (2.339) (-1.347) (1.114) (-1.368) (-1.487) (0.716) (-0.927) (-0.876) Philippines -0.000724 -3.92E-10*** 4.88E-11 1.88E-10 -4.90E-12 -7.90E-11 2.58E-10* -1.29E-10 1.48E-10*** 0.073392 t value (-2.487) (-3.001) (0.299) (1.267) (-0.171) (-0.631) (1.901) (-1.196) (6.208) Poland -0.010604 -1.87E-08*** -1.38E-08* 1.22E-08++ 5.56E-09+++ 2.63E-09 2.97E-08*** 1.29E-08*** 8.70E-09*** 0.238603 t value (-6.472) (-2.900) (-1.817) (2.013) (3.390) (0.386) (3.222) (2.617) (6.705)
Russia 0.045556 -7.11E-09*** -9.17E-10 7.18E-10 -3.41E-09*** -4.46E-09++ -3.80E-09++ 2.43E-10 -2.79E-09+++ 0.033820 t value (4.140) (-3.212) (-0.405) (0.270) (-3.650) (-2.174) (-1.793) (0.122) (-3.850)
South Africa -0.263980 1.19E-08+++ 1.73E-08+++ 2.01E-08+++ 1.63E-08+++ 1.11E-08*** 1.62E-08*** 1.70E-08*** 1.49E-08*** 0.072534 t value (-8.210) (3.540) (4.944) (6.038) (8.263) (3.315) (4.770) (4.528) (8.599)
Taiwan 0.267134 -1.30E-09 3.93E-11 -2.95E-09*** -2.18E-10 -3.08E-09+++ 8.79E-10 -4.49E-09 7.09E-10*** 0.220129
t value (3.929) (-1.598) (0.040) (-3.386) (-1.032) (-3.965) (1.132) (-6.021) (3.558)
Thailand -0.048837 -6.57E-10 1.04E-10 1.32E-09+ -2.21E-10* -1.44E-10 1.70E-09*** -1.69E-09+++ 1.49E-09 0.424902 t value (-16.153) (-1.149) (0.159) (1.806) (-1.874) (-0.294) (3.457) (-4.399) (27.100) Turkey 0.004329 -1.61E-11** 1.67E-11++ -1.69E-11** -4.28E-12*** -2.16E-11+++ 2.39E-11*** -2.37E-12 1.66E-12*** 0.170434 t value (0.451) (-2.326) (1.983) (-2.329) (-3.879) (-3.280) (3.775) (-0.493) (4.106)
Venezuela -0.000584 -5.67E-10 1.68E-10 5.95E-10 1.61E-10+++ 7.53E-10 -6.10E-11 9.66E-10 4.10E-10*** 0.006838 t value (-4.776) (-0.750) (0.563) (0.693) (2.673) (0.808) (-0.168) (1.296) (3.705)