Table 9.

The Correlation and the VECM parameters for the cointegrated indices against the MERS. Confidence levels: 90%(*), 95%(**) and 99% (***).

TS	Correlation	Cointegration – parameters
		$\alpha$	${\beta }_0$	${\beta }_1$	${\beta }_2$	${\gamma }_1$
Dow Jones	0.821	$-$0.0003	40.02	1.00	$-$3.04	$-$0.13
MERS		NA	NA	NA	NA	0.46
S&P 500	0.907	0.03	866.26	1.00	$-$0.59	$-0.{23}^{(**)}$
MERS		NA	NA	NA	NA	0.17
Euro Stoxx	0.871	0.046	828.29	1.00	$-$0.34	$-$0.06
MERS		NA	NA	NA	NA	0.89
DAX	0.896	$0.{36}^{(**)}$	698.51	1.00	$-$0.10	$-$0.06
MERS		NA	NA	NA	NA	$-$10.95
CAC	0.885	$-$0.005	875.93	1.00	$-$0.25	$-$0.09
MERS		NA	NA	NA	NA	4.95
Nikkei	0.748	0.27	604.84	1.00	$-$0.05	$-$0.11
MERS		NA	NA	NA	NA	$-$6.75
HSI	0.554	$-$0.06	4977.85	1.00	$-$0.24	$-$0.03
MERS		NA	NA	NA	NA	23.91
Kospi	0.149	$-$0.02	4256.99	1.00	$-$2.23	$-$0.15
MERS		NA	NA	NA	NA	2.81
S&P ASX	0.737	0.002	2154.29	1.00	$-$0.45	0.06
MERS		NA	NA	NA	NA	4.55
Nifty	0.553	0.02	2344.75	1.00	$-$0.42	$-$0.03
MERS		NA	NA	NA	NA	4.59
Ibov	$-$0.603	$-$0.10	$-$0.0001	1.00	0.19	$-0.{20}^{(**)}$
MERS		NA	NA	NA	NA	$-$10.60