Table 7.

The result of the VAR model for Period 2 (Feb. 2016–Dec. 2017). ${\mathrm{y}}_t={\left[R_t,{MV}_t,{DT}_t\right]}^{\prime }=A_0+{\mathrm{\Sigma }}_{i=1}^p{B}_i{y}_{t-i}+{\epsilon }_t$ (1).

	$R_t$	${MV}_t$	${DT}_t$
$R_{t-1}$	0.0032	2.5751**	1.4145
	(0.0697)	(2.1607)	(1.2215)
$R_{t-2}$	0.0229	1.6560	0.3299
	(0.4957)	(1.4018)	(0.2874)
${MV}_{t-1}$	−0.0002	−0.3645***	0.0714
	(-0.0788)	(-5.2654)	(1.0611)
${MV}_{t-2}$	−0.0009	0.0363	0.2175***
	(-0.3369)	(0.5252)	(3.2380)
${DT}_{t-1}$	0.0025	−0.0875	−0.5463***
	(0.9222)	(-1.2598)	(-8.0982)
${DT}_{t-2}$	0.0013	−0.2556***	−0.4655***
	(0.4829)	(-3.6800)	(-6.8978)
Constant	0.0547*	−0.0543	0.3865
	(1.7634)	(-0.0683)	(0.5003)
F statistic (p-value)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{Ri}=0$	0.1255	3.3365**	0.7897
	(0.8821)	(0.0364)	(0.4546)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{MVi}=0$	0.0580	17.4410***	5.2542***
	(0.9437)	(0.0000)	(0.0055)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{DTi}=0$	0.4361	6.7799***	41.4397***
	(0.6468)	(0.0013)	(0.0000)

Note: Same Note shown in Table 2.