|
Variables
|
Lag
|
t-stat
|
TB1
|
TB2
|
Lag
|
t-stat
|
TB1
|
TB2
|
|
Pre-COVID-19 Sample (02/01/2019-31/12/2019)
|
|
Stock Returns
|
3 |
-0.558
(-5.219)*
|
03.10.2019 |
07.10.2019 |
1 |
-0.470
(-4.244)*
|
07.05.2019 |
07.10.2019 |
|
FPI
|
1 |
-0.208
(-3.327)
|
07.05.2019 |
01.07.2019 |
1 |
-0.249
(-3.717)
|
07.05.2019 |
01.07.2019 |
|
COVID-19 Sample (01/01/2020-30/09/2020)
|
|
Stock Returns
|
4 |
-1.296
(-6.633)*
|
18.06.2020 |
24.06.2020 |
4 |
-1.322
(-6.630)*
|
30.01.2020 |
01.02.2020 |
|
FPI
|
1 |
-0.166
(-3.836)
|
04.03.2020 |
07.07.2020 |
1 |
-0.208
(-3.228)
|
04.03.2020 |
07.07.2020 |
|
Full Sample (02/01/2019-30/09/2020)
|
|
Stock Returns
|
3 |
-0.053
(-7.118)*
|
03.10.2019 |
07.10.2019 |
3 |
-0.555
(-6.706)*
|
07.10.2019 |
24.03.2020 |
|
FPI
|
1 |
-0.230
(-5.145)*
|
01.07.2019 |
26.08.2019 |
1 |
-0.250
(-5.379)*
|
01.07.2019 |
26.08.2019 |
|
Critical Values for the NP test
|
| Model |
1% |
5% |
10% |
| Model M1 (Break in the intercept only) |
-4.731 |
-4.136 |
- 3.825 |
| Model M2 (Break in both the intercept and trend) |
-5.318 |
-4.741 |
-4.430 |