Annual returns for 16 countries in the portfolio. The first row gives the value of the coefficients. The second row gives the t-stat for the coefficients. The critical values for t-stat for DF = 22 are 2.8188 (1%), 2.0739 (5%) and 1.7171 (10%), and for DF = 8, 3.3554 (1%), 2.3060 (5%) and 1.8595 (10%). These are designated by ^***, ^** and ^* respectively.

Sample Period 1989-2012

Sample Period 1989-1998

Sample Period 1999-2008

Country

Intercept

Slope

Intercept

Slope

Intercept

Slope

China, P.R.: Mainland

0.0835

1.0834

0.0702

1.0968

0.0998

1.1220

5.0735

8.6714^***

2.1694

3.2668^**

2.6900

4.1605^***

Japan

−0.0293

0.9635

−0.0007

0.5843

−0.0528

1.1020

−1.7534

7.5925^***

−0.0259

2.0705^*

−1.8165

5.2128^***