Table 4.

Estimates of herding behaviour with extreme oil returns.

Sector/Regions		$\mathit{\alpha }$	${\mathit{\gamma }}_1$	${\mathit{\gamma }}_2$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_5$	${\mathit{\gamma }}_6$	adj.${\mathit{R}}^2$	F-stat.
Renewable Energy	USA	1.375*** (0.024)	−0.006 (0.011)	0.482*** (0.030)	0.033*** (0.007)	0.002** (0.001)	0.010* (0.006)	−0.014 (0.010)	0.467	422.48
	Euro	1.178*** (0.017)	0.001 (0.008)	0.467*** (0.022)	0.040*** (0.005)	0.002** (0.001)	0.002 (0.005)	−0.029*** (0.006)	0.604	677.56
	Asia	1.406*** (0.020)	0.031*** (0.009)	0.402*** (0.027)	0.020*** (0.006)	0.001** (0.001)	0.006 (0.005)	−0.008 (0.007)	0.401	338.05
Fossil Fuel Energy	USA	1.803*** (0.031)	−0.020* (0.012)	0.480*** (0.035)	0.030*** (0.008)	0.007*** (0.002)	0.025 (0.008)	−0.003 (0.012)	0.427	310.99
	Asia	1.956*** (0.034)	0.034*** (0.013)	0.466*** (0.037)	0.024*** (0.008)	0.001 (0.001)	0.002 (0.010)	0.006 (0.007)	0.226	189.93

Notes.

1. The table reports estimate for Model III: $CSA{D}_t=\alpha +{\gamma }_1{R}_{m,t}+{\gamma }_2\left|R_{m,t}\right|+{\gamma }_3{R}_{m,t}^2+{\gamma }_4{R}_{oil,t}^2+{\gamma }_5{D}_t^{up,oil}{R}_{m,t}^2+{\gamma }_6{D}_t^{down,oil}{R}_{m,t}^2+{\epsilon }_t$, where $R_{oil,t}$ denotes crude oil spot returns. The dummy variable represents the extreme return of crude oil, $D_t^{up,oil}=1$ if the returns of the crude oil market lie in the extreme upper tail of the returns distribution, and $D_t^{down,oil}=1$ if the returns of the crude oil market lie in the extreme lower tail of the returns distribution.

2. All F-statistics are significant at 1%. White's heteroskedasticity-robust standard errors are in parentheses, *, **, and *** denote significance at 10%, 5% and 1%, respectively.