ρ

β 1

β 2

Contagion

Materials

0.2580***

0.1476

0.2747***

C

Telecommunications

0.1737***

0.0103

0.0391***

C

Industries

0.1495***

0.1389***

−0.0373***

Utilities

0.1894***

−0.1153***

−0.0316**

Science and technology

0.1785***

0.0295*

−0.0367***

Energy

0.3028***

0.2691***

0.4653***

C

Consumer services

0.1378***

0.2272***

−0.1671***

Consumer goods

0.1348***

0.0673***

0.0345

Medical and health care

0.1547***

0.0016***

−0.0628***

Adj R2

0.8334

F-statistic

2920.547***

D.W

1.9820