Table 4.
Linear ARDL model: Stock and gold short-run coefficient estimates.
| Stock/Gold | Bear | Bull | Bear | Bull | Bear | Bull | Bear | Bull |
|---|---|---|---|---|---|---|---|---|
| Stock-1 | 0.021(0.281) | 0.072(2.099)** | −0.028(−0.258) | −0.105(−3.195)* | 0.024(0.387) | −0.008(−0.203) | 0.110(0.730) | 0.006(0.123) |
| Stock-2 | 0.126(1.780)*** | 0.058(1.675)*** | 0.129(1.198) | 0.040(0.269) | 0.023(0.524) | |||
| Stock-3 | −0.068(−0.957) | −0.182(−1.722)*** | −0.163(−1.095) | −0.110(−2.452)** | ||||
| Stock-4 | −0.042(−0.594) | −0.244(−1.614) | 0.056(1.265) | |||||
| Stock-5 | 0.162(2.328)** | 0.266(1.734)*** | −0.210(−4.727)* | |||||
| Stock-6 | −0.097(−1.401) | −0.238(−1.334) | −0.069(−1.551) | |||||
| Stock-7 | −0.230(−3.396)* | 0.376(1.837)*** | 0.046(1.104) | |||||
| Stock-8 | 0.127(1.855)*** | −0.125(−3.026)* | ||||||
| Gold | 0.136(1.008) | −0.079(−1.403) | 0.368(1.993)** | 0.121(3.228)* | −0.100(−1.573) | 0.043(1.036) | 0.417(3.087)* | 0.137(3.713)* |
| Gold-1 | 0.107(1.892)*** | 0.155(4.118)* | 0.025(0.390) | 0.075(1.817)*** | ||||
| Gold-2 | 0.021(0.363) | 0.014(0.219) | 0.062(1.507) | |||||
| Gold-3 | −0.081(−1.430) | 0.013(0.201) | ||||||
| Gold-4 | −0.135(−2.389)** | 0.197(3.071)* | ||||||
| Gold-5 | −0.045(−0.799) | |||||||
| Gold-6 | 0.108(1.912)*** | |||||||
| Gold-7 | ||||||||
| Gold-8 | ||||||||
| Diagnostic tests | ||||||||
| LM test | 0.425 | 1.784 | 0.154 | 0.048 | 0.004 | 14.748 | 0.396 | 3.382 |
| CUSUM | Stable | Stable | Stable | Stable | Stable | Stable | Stable | Stable |
| CUSUMQ | Stable | Stable | Stable | Stable | Stable | Stable | Stable | Stable |
| Stock/Gold | Bear | Bull | Bear | Bull | Bear | Bull | Bear | |
|---|---|---|---|---|---|---|---|---|
| Stock-1 | 0.025(0.321) | 0.060(1.018) | −0.017(−0.257) | 0.029(0.631) | −0.016(−0.224) | 0.065(0.655) | −0.096(−1.019) | |
| Stock-2 | −0.030(−0.645) | |||||||
| Stock-3 | −0.003(−0.072) | |||||||
| Stock-4 | −0.110(−2.400)** | |||||||
| Stock-5 | ||||||||
| Stock-6 | ||||||||
| Stock-7 | ||||||||
| Stock-8 | ||||||||
| Gold | 0.037(0.412) | 0.034(0.673) | −0.114(−1.739)*** | −0.065(−1.718)*** | 0.031(0.356) | 0.044(0.566) | −0.187(−2.219)** | |
| Gold-1 | 0.081(2.133)** | 0.169(1.960)*** | −0.003(−0.043) | |||||
| Gold-2 | −0.015(−0.190) | |||||||
| Gold-3 | 0.041(0.528) | |||||||
| Gold-4 | 0.174(2.122)** | |||||||
| Gold-5 | 0.172(2.169)** | |||||||
| Gold-6 | −0.136(−1.665)*** | |||||||
| Gold-7 | ||||||||
| Gold-8 | ||||||||
| Diagnostic tests | ||||||||
| LM test | 0.850 | 0.018 | 0.016 | 0.963 | 2.345 | 5.259 | 2.713 | |
| CUSUM | Stable | Stable | Stable | Stable | Stable | Stable | Stable | |
| CUSUMQ | Stable | Stable | Stable | Stable | Stable | Stable | Stable |
The 1, 5, and 10% significance levels are indicated by *, **,***, respectively. The values of t-test are numbers in parentheses. LM test is the Lagrange multiplier. CUSUM is the cumulative sum of recursive residuals. CUSUMQ is the cumulative sum of squares of recursive residuals.