Table 3 Test of changes in dynamic correlations between market stock returns during different phases of the crisis.
From: Analysis of financial contagion in influential African stock markets
| South Africa | Nigeria | Egypt | Tunisia | Kenya | |
|---|---|---|---|---|---|
| Mean equation | |||||
| Constant |
2.08681 (0.5713) |
0.77250 (1.0428) |
4.362748* (1.5090) |
1.84230 (0.5931) |
1.61047 (0.7928) |
| \(\rho_{t - 1}\) |
0.59577 (0.0756) |
0.46649 (0.1542) |
0.99086 (0.2114) |
0.09585 (0.0794) |
0.56332 (0.1207) |
| \(DM_{2,t}\) |
− 0.96209 (0.9314) |
1.89505* (1.8657) |
− 3.77196** (2.3908) |
− 0.86753 (0.9871) |
− 2.53542 (1.4099) |
| \(DM_{3,t}\) |
− 1.59334 (0.6562) |
− 0.53759 (1.2752) |
− 4.37373* (1.7917) |
0.86123 (0.7384) |
− 1.77603 (0.9243) |
| Variance equation | |||||
| Constant |
1.37401 (0.3099) |
1.26122 (0.5388) |
1.38831 (0.9809) |
1.28640 (0.3034) |
0.86895 (0.4392) |
| \(\varepsilon_{t - 1}^{2}\) |
0.07411 (0.1268) |
− 0.043560 (0.3597) |
0.61765 (0.2655) |
0.21021 (0.1325) |
0.10640 (0.2409) |
| \(h_{t - 1}\) |
0.75845 (0.2379) |
0.83192 (0.0734) |
− 0.17014 (0.0669) |
0.54463 (0.1552) |
0.72677 (0.2788) |
| \(DM_{2,t}\) |
0.72094 (0.5295) |
− 0.12459 (0.6018) |
− 0.27262 (0.5983) |
0.35703 (0.5567) |
1.33391 (0.6577) |
| \(DM_{3,t}\) |
− 0.61334 (0.4363) |
− 0.14626 (0.2700) |
− 0.24832 (0.3020) |
0.22425 (0.4342) |
− 0.21671 (0.5154) |
| Q(5) | 1214.3954 | 1100.7270 | 2135.8967 | 1246.1406 | 1240.7504 |
| ARCH(5) | 0.34044 | 0.47461* | 1.26249*** | 0.32965 | 0.61658** |