Table B.

Estimation results for the equation of ∆NCC_t in VAR(1) and VAR(2).

	∆NCCt for VAR(1)				∆NCCt for VAR(2)
	Estimate	s.e.	t	Pr (>|t|)	Estimate	s.e.	t	Pr (>|t|)
∆NCCt−1	−0.484⁎⁎⁎	0.111	−4.372	0.000	−0.658⁎⁎⁎	0.104	−6.313	0.000
∆OMCt−1	0.006	0.014	0.426	0.672	0.006	0.012	0.497	0.621
∆OMAt−1	−0.002	0.011	−0.213	0.832	−0.004	0.010	−0.418	0.678
∆OMSt−1	0.125*	0.061	2.050	0.045	0.010	0.051	0.197	0.845
∆NCCt−2					−0.324⁎⁎	0.111	−2.919	0.005
∆OMCt−2					0.059⁎⁎⁎	0.012	5.073	0.000
∆OMAt−2					0.002	0.009	0.244	0.809
∆OMSt−2					−0.103*	0.051	−2.025	0.048
SPVt	5.049*	2.424	2.083	0.042	5.291*	2.326	2.274	0.027
Intercept	−0.918	0.913	−1.006	0.319	−1.001	0.709	−1.411	0.164
R2	0.325				0.658
Adjusted R2	0.265				0.599

⁺P<0.10, * P<0.05, ** P<0.01, *** P<0.001.