Table 3 Test of changes in dynamic correlations between market stock returns during different phases of the crisis.

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**