Economic Analysis on VECM Estimation Results Capital Market
ϳϯ
CointEq2 -0.082468 -0.777978
0.839380 -0.000223
-0.002508 -0.000134
0.000890 0.09369
0.31383 1.63969
0.00013 0.00224
4.2E-05 0.00040
[-0.88021] [-2.47894] [ 0.51191] [-1.67720] [-1.11790] [-3.19713] [
2.22854] CointEq3
0.049090 0.194928
-0.822120 -5.98E-05
0.001793 1.86E-05
-0.000153 0.02846
0.09532 0.49801
4.0E-05 0.00068
1.3E-05 0.00012
[ 1.72513] [ 2.04502]
[-1.65081] [-1.48157]
[ 2.63219] [ 1.46243]
[-1.26044] CointEq4 -183.6478
-338.1076 7272.966
-0.169685 -7.936923
-0.253692 2.319631
225.302 754.691
3943.03 0.31943
5.39438 0.10078
0.95991 [-0.81512] [-0.44801] [
1.84451] [-0.53122] [-1.47133] [-2.51729] [ 2.41652]
CointEq5 3.351629
-12.68080 -56.26350
0.016720 -0.084817
0.003662 -0.059898
4.07884 13.6629
71.3842 0.00578
0.09766 0.00182
0.01738 [ 0.82171]
[-0.92812] [-0.78818]
[ 2.89135] [-0.86850]
[ 2.00732] [-3.44677]
DJII-1 0.113048
-0.056224 -9.427329
-0.001103 -0.001689
-9.87E-05 -0.002396
0.27739 0.92919
4.85472 0.00039
0.00664 0.00012
0.00118 [
0.40753] [-0.06051] [-1.94189] [-2.80523] [-0.25435] [-0.79527] [-2.02736] DJII-2
0.507798 -1.632214 -7.433803 -0.000484 -0.000393 -0.000142 -0.001183 0.34360
1.15095 6.01336
0.00049 0.00823
0.00015 0.00146
[ 1.47788] [-1.41814] [-1.23621] [-0.99359] [-0.04780] [-0.92552] [-0.80795]
DJII-3 0.409688
-1.755734 0.501920
-0.000190 -0.008055
-4.68E-05 -0.001711
0.25869 0.86653
4.52734 0.00037
0.00619 0.00012
0.00110 [
1.58371] [-2.02617] [ 0.11086] [-0.51904] [-1.30049] [-0.40445] [-1.55239]
DJII-4 -0.163479 -2.092590
-4.420700 0.000429
-0.013352 -0.000203
-0.000432 0.25000
0.83742 4.37525
0.00035 0.00599
0.00011 0.00107
[-0.65392] [-2.49886] [-1.01039] [ 1.21081] [-2.23061] [-1.81949] [-0.40541]
DDJIM-1 0.073831
0.248856 -1.088002
4.82E-05 0.002027
0.000106 -0.000618
0.07715 0.25841
1.35013 0.00011
0.00185 3.5E-05
0.00033 [ 0.95704]
[ 0.96301] [-0.80585]
[ 0.44027] [ 1.09740]
[ 3.07844] [-1.88104]
DDJIM-2 0.162504
0.405537 -0.934890
-0.000113 0.000339
9.63E-05 -0.000612
0.08416 0.28193
1.47298 0.00012
0.00202 3.8E-05
0.00036 [ 1.93078]
[ 1.43845] [-0.63469]
[-0.94354] [ 0.16815]
[ 2.55748] [-1.70708]
ϳϰ
DDJIM-3 0.032301
0.172053 -0.194947
-9.97E-05 0.000423
0.000106 -0.000122
0.07983 0.26741
1.39714 0.00011
0.00191 3.6E-05
0.00034 [ 0.40462]
[ 0.64340] [-0.13953]
[-0.88127] [ 0.22110]
[ 2.97259] [-0.35800]
DDJIM-4 -0.035275
0.212739 -0.997467
7.45E-05 0.000896
5.16E-05 7.65E-05
0.04987 0.16706
0.87283 7.1E-05
0.00119 2.2E-05
0.00021 [-0.70729]
[ 1.27343] [-1.14279]
[ 1.05389] [ 0.75022]
[ 2.31204] [ 0.36002]
DFHSI-1 -0.011890 -0.065729
0.558024 1.47E-05
-0.000993 -2.33E-05
0.000217 0.02542
0.08513 0.44480
3.6E-05 0.00061
1.1E-05 0.00011
[-0.46783] [-0.77207]
[ 1.25455] [ 0.40839]
[-1.63151] [-2.04749]
[ 2.00463] DFHSI-2
-0.053509 -0.037149
0.466716 3.75E-05
-0.001273 3.67E-06
0.000291 0.02586
0.08663 0.45263
3.7E-05 0.00062
1.2E-05 0.00011
[-2.06895] [-0.42881]
[ 1.03113] [ 1.02231]
[-2.05648] [ 0.31725]
[ 2.64309] DFHSI-3 -0.089071
-0.092617 0.191641
6.92E-05 -0.000732
-4.95E-06 0.000399
0.02637 0.08834
0.46156 3.7E-05
0.00063 1.2E-05
0.00011 [-3.37730]
[-1.04839] [ 0.41520]
[ 1.85040] [-1.15865]
[-0.42000] [ 3.55356]
DFHSI-4 -0.061952
0.046994 0.262148
5.94E-05 0.000245
-8.62E-06 3.45E-05
0.03168 0.10612
0.55445 4.5E-05
0.00076 1.4E-05
0.00013 [-1.95550]
[ 0.44283] [ 0.47281]
[ 1.32288] [ 0.32357]
[-0.60819] [ 0.25561]
DLNEXRATE-1 221.6999
-68.60623 -9400.717
-0.789790 5.537843
0.179974 -1.034318
253.841 850.290
4442.50 0.35989
6.07770 0.11355
1.08150 [ 0.87338]
[-0.08069] [-2.11609]
[-2.19454] [ 0.91117]
[ 1.58504] [-0.95637]
DLNEXRATE-2 137.8482
-292.3077 -4308.820
-0.834309 5.777045
0.184374 -0.842407
194.268 650.738
3399.91 0.27543
4.65135 0.08690
0.82769 [ 0.70958]
[-0.44919] [-1.26733]
[-3.02913] [ 1.24202]
[ 2.12173] [-1.01778]
DLNEXRATE-3 -142.9646 86.67749 -4434.121 -0.799776 -4.261392
0.097041 0.383279
161.351 540.477
2823.82 0.22876
3.86322 0.07217
0.68744 [-0.88605]
[ 0.16037] [-1.57025]
[-3.49614] [-1.10307]
[ 1.34454] [ 0.55754]
DLNEXRATE-4 -176.9115 -168.2552
-2856.069 -0.403287
-3.300021 0.080708
0.187551 118.153
395.778 2067.82
0.16751 2.82894
0.05285 0.50340
[-1.49730] [-0.42513]
[-1.38120] [-2.40747]
[-1.16652] [ 1.52707]
[ 0.37257]