Names

Panel A

Panel B

${\widehat{\alpha }}_i$

${\widehat{\mu }}_i$

${\beta }_i$

${\widehat{\gamma }}_i$

$Adj.R^2$

${\widehat{\alpha }}_i$

${\widehat{\mu }}_i$

${\beta }_i$

${\widehat{\gamma }}_i$

$Adj.R^2$

SSE Energy Index

−0.0004 (0.0002)

0.0012 (0.0011)

0.9753***

(0.0229)

−0.0814

(0.1138)

0.52

−0.0004***

(0.0001)

0.0009

(0.0007)

1.0487***

(0.0183)

0.0018

(0.0745)

0.74

CNI Oil & Gas Index

−0.0006** (0.0002)

0.0014 (0.001)

0.8417***

(0.0236)

−0.0926

(0.116)

0.50

−0.0007***

(0.0002)

0.0012

(0.0008)

0.8668***

(0.0209)

0.0299

(0.0914)

0.64

CSI All Share Electric Utilities Index

−0.0004** (0.0002)

0.0013 (0.001)

0.8141***

(0.0226)

−0.1814*

(0.0963)

0.55

−0.0005***

(0.0001)

0.0013

(0.0008)

0.7700***

(0.0198)

0.0593

(0.0802)

0.65

CSI Coal & Consumable Fuels Index

−0.0002 (0.0003)

0.0016 .0014)

1.1635***

(0.0274)

−0.0616

(0.1367)

0.44

−0.0001

(0.0003)

0.0012

(0.0009)

1.2293***

(0.0275)

0.1126

(0.0948)

0.64

CSI Steel Index

−0.0004 (0.0003)

0.0012 0.0012)

1.1089***

(0.0285)

−0.1076

(0.1485)

0.51

−0.00029

(0.00025)

0.0008 (0.00096)

1.1095***

(0.0263)

0.08355

(0.1024)

0.66