Table 14.

Direct model parameter estimation for Japanese hotel stocks: a short-term sample immediately before and after COVID-19

	Regime 1			Regime 2			T-Matrix
	C1	λ1	k1	C2	λ2	k2	δ1	δ2
FJT	3.228E−03	− 1.350E−04	− 6.536	− 1.243E−02	2.760E−06	− 3.111	− 0.516	− 2.167
IMP	− 2.239E−03	2.190E−05	− 2.731	1.163E−03	− 1.320E−04	− 4.621	1.723	− 1.362
RYL	− 2.324E−03	5.530E−05	− 5.975	− 5.413E−03	− 4.990E−05	− 3.104	− 20.338	− 0.428
KYT	1.021E−02	− 4.150E−05	− 9.027	− 8.209E−03	− 4.590E−05	− 3.143	− 21.407	− 2.444
OL	3.114E−03	− 4.710E−05	− 3.373	6.772E−03	− 8.270E−05	− 6.753	1.667	0.942
SB	− 6.951E−03	− 1.240E−05	− 8.331	− 6.558E−03	− 3.710E−05	− 3.467	− 1.205	− 2.484
KRT	− 1.626E−02	5.280E−05	− 2.976	− 3.888E−03	− 1.400E−04	− 7.234	2.581	0.937

Note that the bold numbers represent statistical significance at 5$\%$. We obtain statistically significant and negative ${\lambda }_1$ or ${\lambda }_2$, representing the impact of changes in the number of COVID-19 cases on hotel stock prices in Regime 1 or 2, respectively, except for RYL. In addition, there were a number of cases where the transition probabilities of ${\delta }_1$ and/or ${\delta }_2$ were not statistically significant