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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**