Panel A: Pre-Crisis Regressions

Developed Countries

α

S.D.

SE.D

β

Dβ

t_α

t_S.D.

t_SE.D

i_β

t_Dβ

adj R²

0.0080

−0.0456

1.5454

−0.5972

0.0114

0.0107

−0.1022

1.9036

−1.0441

0.0465

0.0109

−0.0054

3.0953

−1.6918

0.0557

0.0097

−0.0043

2.5022

−1.2115

0.0420

Emerging Countries

α

S.D.

SE.D

β

Dβ

t_α

t_S.D.

t_SE.D

t_β

t_Dβ

adj R²

0.0158

−0.0052

2.3011

−0.0614

0.0001

0.0118

0.0500

1.5980

0.4090

0.0059

0.0191

−0.0029

2.7616

−0.5156

0.0114

0.0236

−0.0061

3.1696

−1.0867

0.0554

Frontier Countries

α

S.D.

SE.D

β

Dβ

t_α

t_S.D.

t_SE.D

t_β

t_Dβ

adj R²

0.0283

−0.1836

4.7573

−3.7896

0.2959

0.0269

−0.2323

8.3080

−6.9863

0.5078

0.0167

−0.0096

3.7971

−2.0629

0.2495

0.0145

−0.0064

2.6497

−1.8454

0.2051

Combine Market Groups

α

S.D.

SE.D

β

Dβ

t_α

t_S.D.

t_SE.D

t_β

t_Dβ

adj R²

0.0128

−0.0366

2.1895

−0.5623

0.0105

0.0174

−0.1151

3.5054

−1.6481

0.0738

0.0136

−0.0034

3.6907

−1.1307

0.0206

0.0146

−0.0041

3.9532

−1.5597

0.0431

Panel B: Post-Crisis Regressions

Developed Countries

α

S.D.

SE.D

β

Dβ

t_α

t_S.D.

t_SE.D

t_β

t_Dβ

adj R²

0.0103

−0.1490

2.8858

−2.0140

0.1270

0.0139

−0.3314

5.2433

−4.3647

0.3179

0.0041

−0.0015

2.7102

−1.0086

0.0163

0.0057

−0.0030

2.3405

−1.3527

0.0844

Emerging Countries

α

S.D.

SE.D

β

Dβ

t_α

t_S.D.

t_SE.D

t_β

t_Dβ

adj R²

0.0115

−0.2187

3.7967

−5.6273

0.4617

0.0095

−0.3001

3.6655

−6.2994

0.4112

0.0053

−0.0085

2.0733

−3.2950

0.2313

0.0007

−0.0041

0.1915

−1.2260

0.1008