Table 9.
Nonlinear ARDL model: Stock and Bitcoin short-run coefficient estimates.
| Stock/Bitcoin | Bear | Bull | Bear | Bull | Bear | Bull | Bear |
|---|---|---|---|---|---|---|---|
| Stock-1 | 0.026(0.343) | 0.054(0.911) | −0.047(−0.708) | 0.025(0.576) | −0.032(−0.493) | 0.119(1.358) | −0.045(−0.508) |
| Stock-2 | 0.037(0.565) | ||||||
| Stock-3 | −0.145(−2.198)** | ||||||
| Stock-4 | |||||||
| Stock-5 | |||||||
| Stock-6 | |||||||
| Stock-7 | |||||||
| Stock-8 | |||||||
| Bitcoin_POS | −0.010(−0.727) | 0.013(1.279) | −0.036(−1.709)*** | −0.001(−0.161) | −0.001(−0.164) | −0.003(−0.321) | −0.011(−0.864) |
| Bitcoin_POS-1 | 0.026(0.852) | ||||||
| Bitcoin_POS-2 | −0.004(−0.124) | ||||||
| Bitcoin_POS-3 | −0.072(−2.319)** | ||||||
| Bitcoin_POS-4 | 0.097(4.360)* | ||||||
| Bitcoin_POS-5 | |||||||
| Bitcoin_POS-6 | |||||||
| Bitcoin_POS-7 | |||||||
| Bitcoin_POS-8 | |||||||
| Bitcoin_NEG | −0.010(−0.696) | −0.005(−0.400) | 0.008(0.357) | −0.001(−0.162) | 0.042(2.788)* | −0.004(−0.358) | −0.011(−0.910) |
| Bitcoin_NEG-1 | 0.018(1.433) | −0.036(−1.070) | −0.042(−2.740)* | ||||
| Bitcoin_NEG-2 | −0.026(−0.734) | ||||||
| Bitcoin_NEG-3 | 0.099(2.886)* | ||||||
| Bitcoin_NEG-4 | −0.033(−1.499) | ||||||
| Bitcoin_NEG-5 | |||||||
| Bitcoin_NEG-6 | |||||||
| Bitcoin_NEG-7 | |||||||
| Bitcoin_NEG-8 | |||||||
| Diagnostic tests | |||||||
| LM test | 0.490 | 0.445 | 0.058 | 6.246 | 1.996 | 1.876 | 0.627 |
| 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.