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Table |
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The Impact of Liberalizations on Returns: No Control Variables |
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Sensitivity of results to definition of 'during' liberalization indicator |
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Panel A: |
Official Liberalizations |
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During (6,3) |
PRE |
DURING |
POST |
AFTER |
Wald |
|
coefficient |
0.007 |
0.009 |
0.019 |
0.019 |
3.270 |
|
t-stat |
1.19 |
1.07 |
2.96 |
2.96 |
0.071 |
|
During (6,6) |
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|
coefficient |
0.007 |
0.013 |
0.016 |
0.002 |
1.840 |
|
t-stat |
1.17 |
1.62 |
2.45 |
0.27 |
0.175 |
|
During (6,12) |
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|
coefficient |
0.006 |
0.023 |
0.010 |
0.000 |
0.200 |
|
t-stat |
1.15 |
3.19 |
1.48 |
-0.03 |
0.655 |
|
During (3,12) |
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|
coefficient |
0.003 |
0.028 |
0.009 |
-0.001 |
0.590 |
|
t-stat |
0.57 |
3.60 |
1.31 |
-0.20 |
0.442 |
|
During (12,6) |
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|
coefficient |
0.006 |
0.014 |
0.017 |
0.003 |
2.280 |
|
t-stat |
1.11 |
2.07 |
2.58 |
0.44 |
0.131 |
|
Panel B: |
First Sign |
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|
During (6,3) |
PRE |
DURING |
POST |
AFTER |
Wald |
|
coefficient |
0.012 |
0.014 |
0.032 |
0.016 |
7.370 |
|
t-stat |
1.97 |
1.53 |
4.47 |
2.49 |
0.007 |
|
During (6,6) |
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|
coefficient |
0.012 |
0.019 |
0.029 |
0.016 |
5.290 |
|
t-stat |
1.93 |
2.10 |
4.00 |
2.49 |
0.021 |
|
During (6,12) |
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|
coefficient |
0.011 |
0.023 |
0.025 |
0.014 |
3.390 |
|
t-stat |
1.78 |
2.96 |
3.48 |
2.13 |
0.066 |
|
During (3,12) |
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|
coefficient |
0.007 |
0.027 |
0.023 |
0.013 |
4.800 |
|
t-stat |
1.19 |
3.28 |
3.33 |
1.98 |
0.028 |
|
During (12,6) |
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|
coefficient |
0.016 |
0.019 |
0.032 |
0.019 |
4.770 |
|
t-stat |
2.51 |
2.47 |
4.34 |
2.87 |
0.029 |
|
Table (continued) |
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Panel C: |
Capital Flows |
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|
During (6,3) |
PRE |
DURING |
POST |
AFTER |
Wald |
|
coefficient |
0.006 |
0.017 |
0.005 |
0.009 |
0.050 |
|
t-stat |
1.01 |
1.95 |
0.74 |
1.09 |
0.829 |
|
During (6,6) |
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|
coefficient |
0.006 |
0.014 |
0.005 |
0.009 |
0.020 |
|
t-stat |
1.01 |
1.72 |
0.79 |
1.08 |
0.888 |
|
During (6,12) |
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|
coefficient |
0.006 |
0.021 |
-0.001 |
0.005 |
0.950 |
|
t-stat |
1.04 |
2.86 |
-0.11 |
0.60 |
0.330 |
|
During (3,12) |
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|
coefficient |
0.010 |
0.019 |
-0.001 |
0.005 |
2.340 |
|
t-stat |
1.71 |
2.50 |
-0.12 |
0.64 |
0.126 |
|
During (12,6) |
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|
coefficient |
0.009 |
0.010 |
0.006 |
0.009 |
0.190 |
|
t-stat |
1.38 |
1.34 |
0.86 |
1.15 |
0.663 |
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Regression includes country specific constants but no control variables. |
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Errors are corrected for serial correlation and heteroscedasticity. |
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Pre and Post Periods are always 30 months. |
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During period follows specification outlined in each panel. |
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