Table 8.
Nonlinear ARDL model: Stock and gold short-run coefficient estimates.
| Stock/Gold | Bear | Bull | Bear | Bull | Bear | Bull | Bear | Bull |
|---|---|---|---|---|---|---|---|---|
| Stock-1 | 0.016(0.224) | 0.057(1.653)*** | −0.029(−0.265) | −0.107(−3.248)* | 0.011(0.180) | −0.003(−0.073) | 0.025(0.140) | 0.001(−0.025) |
| Stock-2 | 0.138(1.954)*** | 0.127(1.172) | 0.017(0.105) | 0.037(0.819) | ||||
| Stock-3 | −0.069(−0.965) | −0.185(−1.738)*** | −0.229(−1.320) | −0.113(−2.527)** | ||||
| Stock-4 | −0.057(−0.816) | −0.297(−1.676) | 0.038(0.857) | |||||
| Stock-5 | 0.159(2.290)** | −0.181(−4.037)* | ||||||
| Stock-6 | −0.095(−1.368) | −0.060(−1.354) | ||||||
| Stock-7 | −0.235(−3.483)* | 0.016(0.381) | ||||||
| Stock-8 | 0.126(1.840)*** | −0.104(−2.517)** | ||||||
| Gold_POS | −0.004(−0.024) | −0.124(−1.797)*** | 0.364(1.959)*** | −0.002(−0.049) | −0.028(−0.324) | 0.034(0.828) | 0.539(2.467)** | 0.164(2.715)* |
| Gold_POS-1 | 0.343(1.809)*** | 0.221(4.258)* | −0.490(−1.752)*** | −0.024(−0.334) | ||||
| Gold_POS-2 | 0.339(1.140) | 0.159(2.454)** | ||||||
| Gold_POS-3 | 0.306(1.024) | |||||||
| Gold_POS-4 | −0.448(−1.493) | |||||||
| Gold_POS-5 | 0.815(2.521)** | |||||||
| Gold_POS-6 | −0.172(−0.528) | |||||||
| Gold_POS-7 | 0.621(2.323)** | |||||||
| Gold_POS-8 | ||||||||
| Gold_NEG | 0.343(1.937)*** | −0.073(−1.073) | 0.370(1.994)** | 0.219(4.915)* | −0.205(−2.406)** | 0.035(0.836) | 0.017(0.064) | 0.125(2.300)** |
| Gold_NEG-1 | 0.174(1.940)*** | 0.112(0.929) | 0.782(2.363)** | 0.114(1.252) | ||||
| Gold_NEG-2 | 0.015(0.180) | −0.023(−0.222) | −0.205(−0.586) | −0.181(−2.186)** | ||||
| Gold_NEG-3 | −0.086(−1.028) | −0.084(−0.795) | −0.581(−1.624) | 0.189(2.500)** | ||||
| Gold_NEG-4 | −0.211(−2.534)** | 0.301(2.889)* | 0.687(1.893)*** | 0.088(1.318) | ||||
| Gold_NEG-5 | −0.149(−1.826)*** | −0.121(−1.400) | −0.388(−1.069) | −0.102(−1.561) | ||||
| Gold_NEG-6 | 0.205(3.179)* | 0.249(0.674) | 0.001(0.012) | |||||
| Gold_NEG-7 | 0.372(1.231) | 0.183(2.864)* | ||||||
| Gold_NEG-8 | 0.577(1.955)*** | −0.117(−2.337)** | ||||||
| Diagnostic tests | ||||||||
| LM test | 1.546 | 1.533 | 0.142 | 0.405 | 0.996 | 14.641 | 2.505 | 0.086 |
| CUSUM | Stable | Stable | Stable | Stable | Stable | Stable | Stable | Stable |
| CUSUMQ | Stable | Stable | Stable | Rather Stable | Rather Stable | Rather Stable | Stable | Stable |
| Stock/Gold | Bear | Bull | Bear | Bull | Bear | Bull | Bear | |
|---|---|---|---|---|---|---|---|---|
| Stock-1 | 0.033(0.424) | 0.056(0.948) | −0.009(−0.126) | 0.023(0.502) | −0.013(−0.193) | 0.016(0.165) | −0.127(−1.349) | |
| Stock-2 | −0.052(−0.636) | −0.029(−0.620) | ||||||
| Stock-3 | −0.012(−0.154) | −0.006(−0.138) | ||||||
| Stock-4 | −0.027(−0.326) | −0.110(−2.398)** | ||||||
| Stock-5 | 0.242(2.893)* | |||||||
| Stock-6 | ||||||||
| Stock-7 | ||||||||
| Stock-8 | ||||||||
| Gold_POS | 0.097(0.733) | 0.032(0.621) | −0.007(−0.071) | −0.134(−2.823)* | −0.076(−0.732) | 0.093(0.985) | −0.304(−3.054)* | |
| Gold_POS-1 | −0.273(−1.347) | −0.231(−1.886)*** | 0.140(2.379)** | 0.234(1.657)*** | ||||
| Gold_POS-2 | −0.252(−1.150) | |||||||
| Gold_POS-3 | 0.631(2.957)* | |||||||
| Gold_POS-4 | −0.658(−3.805)* | |||||||
| Gold_POS-5 | ||||||||
| Gold_POS-6 | ||||||||
| Gold_POS-7 | ||||||||
| Gold_POS-8 | ||||||||
| Gold_NEG | −0.133(−0.927) | 0.033(0.645) | −0.232(−2.353)** | 0.006(0.128) | 0.158(1.305) | −0.106(−1.132) | −0.039(−0.365) | |
| Gold_NEG-1 | 0.170(0.768) | 0.204(1.835)*** | −0.096(−0.795) | −0.264(−2.196)** | ||||
| Gold_NEG-2 | 0.271(1.204) | −0.209(−2.193)** | −0.004(−0.037) | |||||
| Gold_NEG-3 | −0.902(−4.302)* | 0.144(1.313) | ||||||
| Gold_NEG-4 | 0.455(2.842)* | 0.207(1.781)*** | ||||||
| Gold_NEG-5 | −0.316(−2.363)** | 0.211(1.778)*** | ||||||
| Gold_NEG-6 | −0.254(−2.534)** | |||||||
| Gold_NEG-7 | ||||||||
| Gold_NEG-8 | ||||||||
| Diagnostic tests | ||||||||
| LM test | 0.065 | 0.030 | 0.000 | 1.549 | 1.694 | 3.115 | 0.143 | |
| CUSUM | Stable | Stable | Stable | Stable | Stable | Stable | Stable | |
| CUSUMQ | Stable | Stable | Stable | Rather 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.