Table 6 Spillover outcome of SPC

\({SPC}_{it}-i\)

 + 

0.231

(0.210)

\({Size}_{it}\)

 + 

0.581***

(0.369)

0.061***

(0.069)

0.093***

(0.045)

\({LEV}_{it}\)

–

− 0.077***

(0.022)

− 0.057***

(0.134)

− 0.467***

(0.352)

\({MktTB}_{it}\)

 + 

0.563***

(0.041)

0.056***

(0.241)

0.653***

(0.145)

\({C\_Score}_{it}\)

–

0.312***

(0.865)

0.231***

(0.377)

0.174***

(0.611)

\({ROA}_{it}\)

–

− 0.233***

(0.349)

− 0.027***

(0.326)

− 0.231**

(0.521)

\({\mathrm{PVolatility}}_{it}\)

0.055***

(0.182)

0.265***

(0.121)

0.064***

(0.052)

\({Returns}_{it}\)

 + 

0.257***

(0.510)

0.075***

(0.061)

0.046***

(0.050)

\({AbDAcc}_{it}\)

 + 

0.089***

(0.363)

0.167***

(0.272)

0.849***

(0.176)

\({SIGMA}_{it}\)

0.881

(0.229)

0.9867

(0.231)

0.211

(0.344)

F value

2.85***

11.34***

14.10***

Adjusted \({R}^{2}\)

0.214

0.1577

0.2367

RMSE

0.114

0.015

0.023