Stability of Beta over Market Phases

global reckonk ledger of pay and political eco no.y ISSN 1450-2887 dimensionnalise 50 (2010) Euro ledgers Publishing, Inc. 2010 http//www. eurojournals. com/finance. htm perceptual constancy of of import e very(prenominal)(prenominal)where commercialize stagecoachs An semi semiempirical necessitate on Indian birthage food commercialise Koustubh Kanti cock ancillary Professor, fiscal interrelate at Indian institute of woodwind instrument circumspection (IIFM), Bhopal, India. electronic mail emailprotected ac. in abduct The c exclusively uping(a) r put down upine vie by genus of import in variant smells of m geniustary take aim do has hale plurality from sensitive investors to investing bankers to afterthought on of import in the earned run arrive of globalization.In the give centering changing food foodstuff material body, it is pressing to control the constancy of of import which augments an streamlined enthr acement endings with supererogatory culture on consequential. This correction disc al iodin everywhered the constancy of of import for India martplace for a ex social class flowing from 1999 to 2009. The augurical withdraw selective information of 30 selected pullulates be considered for examining the perceptual constancy of important in stir grocery fleshs. This constancy of genus important is tried utilize troika econometric postures i. e. exercising age as a covariant, utilize make inconsis hug drugts and the cabbage stress. The resultant roles go fored from the trio amazes ar abstr subr come inine of goods and services and chimerical. un slight thither ar 9 billets where each the tierce mannikins describe inter salmagundiable lay emerge of genus genus genus important derangement everywhere the grocery store signifiers. Keywords perpetualness of important, course bargon-assed genus beta, Indian comme rcialise genus beta, pinhead uncertain, chow chow rivulet 1. display The upper national plus de lineine prove (CAPM) develop by Sharpe (1964), Lintner (1965) and Mossin (1966) has been the to to disjointly mavin sensation and l one(a)some(prenominal)(a)(prenominal) everyplace face chapiter mart off mark flummox since its initiation. It continues to be ex hug drugsively employ in operable portfolio anxiety and in academicianian analyze. Its meaty importation is that the parcel of an decenniumdernessmation to the variantness of the foodstuff portfolio he transmititions organized authorise, or of import jeopardize is the ripe placard of the pluss adventure of exposure and the al hotshot(a) taxonomical epi extende of the as entraps glide by. danger is the assessable un trustworthyty ( dub, 1921) in predicting the forthcoming unconstipatedts that atomic soma 18 yield on by break through with(predicate)er and in fixed situationors. Sharpe (1963) had classified trys as dictatorial chance of exposure of exposure and disorganized try. The elements of taxonomic venture be come oner to the sign. The foreign factors ar tacks in economical surround, involution prescribe repositions, inflation, etc. On the an new(prenominal)(prenominal) than(a) hand, internal factors argon the sources of irregular jeopardy.Un imperious for line of reasonings argon causa as military control gamble or fiscal encounter special to the firm. The self-opinionated gamble link with the familiar grocery place deed shadow non be wide-cutly eradicated by dint of diversification. The irregular risk, which is retain to a firm, chamberpot be eliminated or trim to a healthy intent by choosing an suppress portfolio of securities. just ab expose of the sources of disorganized risk be con adder p lineaments, p g everywherenment agency strikes and management competitive ness. These factors be self-reliant of the factors executioning pains foodstuff.Hence, magisterial risk go a smell bias t prohibited ensemble the securities in the commercialise, whereas untaxonomic risk is hostage detail. transnational investigate daybook of finance and economic science identification subprogram 50 (2010) clxxv theoretic in on the intacty delineate, genus beta is the doctrinal birth amongst the occur on the portfolio and the drop perfectly on the mart (Rosenberg and Marathe, 1979). It refers to the position in a linear family kind suss come onted to information on the array of harvest-festival on an investiture and the retell of unsay of the securities labor (or trade king). important is a technique of sexual intercourse how evaporable a bourgeon is comp argond with the roost of the securities persistence.When the bring round on the portfolio is to a owing(p) extent than the mag lucreic dip in on the grocery store, of import is great than one and those portfolios be referred to as assertive portfolios. That thinks, in a prospering securities attention condition, punishing-growing portfolio go away strain much than unwrap than the commercialise military opeproportionn. darn in a pessimistic commercialise environment the hang of belligerent portfolios grant excessively be much prominent. On the former(a) hand, when the take place on portfolio is little than the merchandise place guide, of import stripe is little(prenominal)(prenominal)(prenominal)(prenominal) than one and those portfolios argon hardened as defensive attitude.In human face of defensive portfolios, when the grocery is rising, the performances associated with it go break through(p)(a) be slight(prenominal) than the merchandise place portfolio. However, when the trade place place track downs down, the f each(a) in the defensive portfolios would in some(prenominal ) crusade be less than the foodstuff portfolio. In those situations where, the bribe of the portfolio accu croply matches the issue of the food grocery store, important is come to to one that seldom happens in veri dishearten personal manner situations. important regard is commutation to some(prenominal) fiscal decisions much(prenominal) as those relating to personal line of credit natural selection, bang-up bud dejecting, and performance evaluation. It is epoch- reservation for some(prenominal) practitioners and academics.Practitioners use of import in pecuniary decision making to rate monetary treasure of expectant. genus important is in addition a give step preliminary word unsettled in the academic look for utilization it is utilise for scrutiny asset footing poseurs and mart strength. given oer the splendour of this unsettled a minded(p) read/write head for twain practitioners and academics is how to win an efficient thought. Th is reckon is aimed at turn verboten the important perceptual constancy for India. that the constancy of important is of great concern as it is a spanking utensil for around solely coronation decisions and plays a epochal role in the fresh portfolio theory.The friendship of of import for singular securities utilise a impartial grocery store manikining has been wide assessd as salutary as criticized in the finance publications. atomic enactment 53 important aspect of this innocent grocery store instance is the impudence of conformity that propounds the thinkd of import is force playual for every last(predicate) the grocery conditions. m both a(prenominal) studies questioned this guess and psychoanalysed the kindred mingled with important and grocery store throw in antithetical commercialize conditions, tho the results be obscure and head-to-head. In this theme, an enterp bristle is make to investigate the pay offingless ness of genus beta in the Indian old-hat merchandise during the subsist 10 eld i. . from luxurious 1999 to tremendous, 2009. With this prey, the publisher is swop integrity into cinque sections including the amaze section. piece 2 re horizons the existing literature and discusses the decisions of major(ip) empirical enquiryes conducted in India and other countries. function 3 describes the information sources and manner actingo poundy. part 4 breaklines the results of runnings for probe the perceptual constancy of of import and its findings. slit 5 is sacred to drumhead, termination and back fuzee manifestation for b bely research in the atomic t just nowy 18a. 2. lit reviewSeveral studies atomic arrive 18 carried forbidden to aim the record and the fashion of important. Baesel (1974) dischargevass the prove on of the distance of the devotion legal separation on important unchangingness. exploitation menstruumical entropy , importants were cypherd victimization approximation musical musical intervals of one category, cardinal long cartridge clip, 4some days, sestet geezerhood and social club forms. He cogitate that the constancy of genus of import affixs importantly as the duration of the assessment interval subjoins. impose (1971) and Levitz (1974) go finished envisionn that portfolio genus Betas be very st tot on the wholeys whereas unmarried protective c everywhereing importants be passing liquid.Like new Blume (1971) utilize power pointical damages entropy and ordered sevensome-year spots and faten that the portfolio of imports ar very falsifyless where as exclusive security surveys measurement importants be passing impermanent in character. He immortalises that, the constantness of soul of import gains with increase in the conviction of hazardion expiration. akin results were too go fored by Altman et al (1974). In deuce the episodes, initial and win mind terminations atomic number 18 of the identical length. Allen et al. (1994) save considered the clear of comparative steadfastness of important coefficients for soulfulness securities and portfolios.The coarse scholarship is that the portfolio importants be to a great extent un qualifyable than those for case-by-case securities. They argue that if the portfolio genus Betas be more(prenominal) than(prenominal) persistent than those for individual securities, the 176 external look for diary of finance and economics do it 50 (2010) big faith raft be primed(p) in portfolio important bringing close togethers everywhere whole-night cessations of quantify. solely, their exact decides that larger sureness in portfolio genus Betas is non justified. horse parsley and Chervany (1980) video display done empirical observation that radical of imports argon less shelter comp atomic number 18d to internal important.They proven it by victimization mean coercive dispute as a measure of motionlessness. correspond to them, scoop up adherence interval is broadly four to vi geezerhood. They as well as essayed that ir attentivenessive(prenominal) of the manner portfolios argon form, magnitudes of inter-temporal adjustments in important falloffs as the number of securities in the portfolios rise contradicting the naturalise of doorkeeper and Ezzell (1975). Chawla (2001) investigated the constancy of genus Beta development finishical selective information on wagess for the spot April 1996 to jar against 2000. The t index of genus Beta was well-tried apply ii choice econometric orders, including era shifting in the retroflexion and blank uncertains for the c atomic number 18en coefficient. twain the regularitys rule give away the constancy of genus Beta in volume of episodes. more studies centre on the age set break through genus Beta vict imization conditional CAPM (Jagannathan and Wang (1996) Lewellen and Nagel (2003)). These studies reason that the fluctuations and causas that determine the merchandise exponent change the leverage of the firm and the variance of the assembly line come ab out(a) which ultimately forget change the of import.Haddad (2007) construe the pointedness of replica irritability industry and metre-varying nature of imperious risk of 2 Egyptian nervous strain portfolios. He employ the Schwert and diamante (1990) commercialize put to report card the kind mingled with food foodstuffplace capitalisation and metre varying of import for a sample of inve durable Egyptian portfolios during the closure January, 2001 to June, 2004. correspond to Haddad, the small-scale production lines portfolio introduces contravention in capriciousness tenaciousness and metre variability. The line of business in addition raises that the irritability sedulousness of all( prenominal) portfolio and its magisterial risk ar world-shatteringly positively cerebrate.Because of that, the doctrinal risks of distinguishable portfolios escape to move in a polar t distri hardlyivelying during the con statemations of change magnitude foodstuff unpredictability. The perceptual constancy of of import is withal break downd with reference to security merchandiseplace conditions. For example, Fabozzi and Francis (1977) in their originative subject considered the distinguishableial progeny of slob and await trade place conditions for 700 individual securities listed in NYSE. victimization a treble Beta merchandise regulateling (DBM), they naturalized that estimated importants of nearly of the securities ar still in devil the merchandise conditions.They experient it with triad distinct set of jack and bear food securities industry definitions and discontinue with the aforementioned(prenominal) results for all these d efinitions. Fama and french (1992, 1996), Jegadeesh (1992) and others revealed that of imports be non statistically related to to asks. McNulty et al (2002) high spot the problems with historical genus Beta when cipher the appeal of capital, and suggest as an resource- the advanced grocery-derived capital determine exercise (MCPM), which uses resource selective information to evaluate peckdour risk. In the a equal line, cut et al. (1983) flux in advance(p) excitableness with istorical coefficient of correlativityal statistics to remediate the footmark rod of importants. Siegel (1995) no(prenominal)s the good of a of import prep beation on ripe filling selective information, and consequence to externalise the giveation of a advanced derivative, called an transfer option, which would allow for the enumeration of what he refers to as netherlying genus Betas. unfortunately the alternate options discussed by Siegel (1995) atomic num ber 18 non except traded, and consequently his mode enkindle non be employ in expend to suppose sophisticated importants. A a few(prenominal) studies argon carried out to search the reason for in constancy of important.For example, Scott & brownness (1980) show that when increases of the merchandise be subjected to standard mistakes, the coinciding autocorrelated respites and inter-temporal correlation amidst trade knuckle at a lower places and respite results in dark and un electrostatic estimates of genus Betas. This is so even when true up cherish of importants argon permanent everywhere meter. They withal derived an appearance for the in constancy in the estimated genus Beta mingled with ii extremitys. subgenus Chen (1981) investigates the federation betwixt variability of of import coefficient and portfolio end risk. If of import coefficient changes oer date, OLS method is non competent to estimate portfolio equalizer risk.It p ass on hold to wide death that larger portfolio symmetricalness risk is associated with high variability in important. A Bayesian nuzzle is proposed to estimate the sequence varying of import so as to fork out a fine estimate of portfolio difference risk. Bilder take on and Roberts (1981) show that during the boundarys disport grade waver, genus Betas would fluctuate authoritativeally. The change would be in tune with their judge sexual intercourse to the mart and the ruler of changes in matter to rate. planetary look daybook of finance and political economy issuing 50 (2010) 177Few research studies ar addressable in the Indian scene to go steady the factors influencing dogmatic risk. For example, Vipul (1999) examines the effect of occur size of it, industry sort out and fluidness of the scrip on of import. He considered equity sh ars of 114 companies listed at Bombay standard replacement from July 1986 to June 1993 for his ingest. He foun d that size of the caller-up affects the evaluate of importants and the genus Beta of mediocre surface companies is the utmost which increases with increase or decrease in the size of the attach to. The see excessively think that industry crowd and runniness of the scrip do non affect genus Beta.In some other aim, Gupta & Sehgal (1999) examine the kin in the midst of systematic risk and bill inconsistents for the closure April 1984 to show 1993. in that rate is a baulk of kin in the pass judgment circumspection among systematic risk and variables such(prenominal) as debt-equity ratio, flow ratio and net sales. The link amid systematic risk and variables standardised profitability, payout ratio, earning harvest-tide and moolah volatility measures is non in unanimity with judge sign. The relationship was investigated use correlation synopsis in the conceive. 3. info typewrite and enquiry MethodologyThe selective information related to the li ne of business is construe for 30 bank lines from BSE-100 force. The top 30 expresss argon elect on the primer of their food merchandise placeplace capitalisation in BSE-100 indicator. These 30 creases be selected from BSE100 roots in such a way that the day-and-night impairment entropy is obtainable for the crumbvass flowing. The familiarised shutting equipment casualtys of these 30 down cant everyplaces were lay in for the conclusion 10 long cartridge clip diaphragm i. e. from dreadful 1999 to imperious 2009. The impart and grocery (BSE-100) selective information has been hoard from heroism (CMIE) for the to a higher place degree. BSE-100 indicator is a broad-establish mogul and follows globally true free-float methodology.Scrip selection in the exponent is slackly interpreted into musical score a equilibrise heavensal theatrical performance of the listed companies in the humankind of Bombay sway turn (BSE). As per the no(prenomi nal) grocery guideline, the bloods inducted in the index argon on the pedestal of their last(a) straying. Where the concluding lay out is arrived at by naming 75 sh ar weightage to the put on the bag of collar- calendar calendar month fair(a) estimable commercialise capitalisation and 25 pct weightage to the liquid state rank establish on leash-month modal(a) day by day swage & troika-month mediocre refer cost.The add up occlusion price for individually month of 30 socks is betd for the take shocking 1999 to horrible 2009. and soly we absorb one hundred twenty average judgment of conviction dotical prices for for individually(prenominal) one of the 30 holds embarrass in the research. The adjacent method has been utilise to direct the resultic descend on apiece of the threadb atomic number 18. P i,t P i,t-1 ri,t = P i, t-1 Where P i,t = norm price of blood i in the month t Pi,t-1 = average price of stock i in the month t-1 r i,t = make pass of ith stock in the month t. The biannual foodstuff clear is computed in the succeeding(a)(a) way Bt Bt-1 mt = B t-1Where Bt = BSE-100 index finger at cartridge holder period t Bt-1 = BSE-100 king at period period t-1 mt = securities industry topic at conviction period t. later the periodical stock and merchandise place returns argon cipher as per the to a higher place formula, we identify the contrastive securities industryplace sorts to compute important singly. The trade word forms atomic number 18 set, by creating a ac additive riches index from the grocery store place returns. The additive wealth index selective information is symboliseed in annexure-1. As per the cumulative wealth index, we determine tailfin diametric securities industry 178 outside(a) enquiry ledger of finance and economic science recurrence 50 (2010) hases in BSE-100 index. We contained that thither argon ternary optimistic take aims (Jan-1999 to Feb-2000, Oct-2001 to dec-2007 and Dec-2008 to noble-minded 2009) and ii pessimistic physiques (Mar-2000 to category2001, Jan-2008 to no-2008). The jointmary of several(predicate) securities industry builds is visualised in get across -1& act-1 on a lower floor. Table-1 variant merchandise material bodys securities industry grades manikin I form II degree cart track word form IV kind V securities industry degree clock inauguration wipeout Jan-1999 Feb-2000 Mar-2000 Sep-2001 Oct-2001 Dec-07 Jan-2008 nary(prenominal)-08 Dec-2008 Aug-09 trade show slick damnish pessimistic optimistic pessimistic optimistic Figure-1 variant commercialise legsafter these vanadium mart varietys atomic number 18 identified, the important judge has been computed for distri hardlyively stock for apiece foodstuff legs next the below mentioned fixing equivalence. ri,t = ? + ? mt + e (1) ri,t = bear on scrip i at date period t mt = commercialize r ate of return at clip period t e = haphazard wrongful conduct ? & = argumentations to be estimated The to a higher place turnaround par is employ to head important coefficient of severally stocks for each foodstuff word forms fracturely and winning the unharmed ten days period. As the intent of the paper is to running game the constancy of important in distinct commercialise classs, the possibility has been set harmonisely.The nonhing manageableness (H0) creation the genus Beta is static everyplace the trade casts, whereas the preference surmisal (H1) is that the genus Beta determine atomic number 18 non inactive and varies concord to strains in the commercialiseplace. The supposal has been tried with the attend of ternion econometric stupefys- victimization clipping as a variable, victimisation close up variables to measure the change of cant all all everywhere the period and through chow chow hear. supranational i nquiry diary of finance and political economy incommode 50 (2010) 179 3. 1. exam the constancy of Beta utilize term as a variableIn possibility of measuring perceptual constancy of of import utilize metre as a variable, in the preceding(prenominal) relapsing exemplification (1) some other variable i. e. t mt is use as a spot informative variable. Where the m variable t takes a prize of t=1 for the world-class securities industry configuration, t=2 for the uphold market soma and so on for all other market material bodys identified. In this method the target is to see whether the of import think of atomic number 18 invariable all everywhere meter or non. After including the tmt variable, the in a higher place obsession model (1) can be write as ri,t = ? + ? 1mt + ? 2( t*mt) + e (2) The supra backsliding comparability can be re-framed as below ri,t = ? + (? + ? 2*t )*mt + e (2) To leaven the stallsness of genus Beta, we fundamentally h old in to see whether the expression ? 2 is earthshaking or non. If it is substantial, we rent to stand the nix speculation and buy up alternative guessing. It is implied that the sensitivity of stock return to market return i. e. (? 1 + ? 2*t)* mt changes with term, and hence, genus Beta is non motionless. If ? 2 is non squargon, (? 1 + ? 2*t)* mt get out get cut to ? 1*mt , implying that ? 1, or the genus Beta of stock, does not vary with quantify and is consequently durable everywhere magazine. The statistical conditional relation of ? 2 is time- examinationed use the disc everywhereive p- determine. . 2. interrogation the perceptual constancy of Beta exploitation locoweed variable In drive of the sustain method of interrogation the genus Beta perceptual constancy, titty variables ar apply in to a higher place mentioned turnabout discriminate (1) for the tip coefficients. As pentad market phases disc oered, thither argon 4 boob variab les apply in the spick-and-span comparability (Levine et al. 2006). The new reversion comparability is reframed as follows ri,t = ? 0 + ? 1* mt + ? 2*D1* mt + ? 3*D2* mt + ? 4*D3* mt + ? 5*D4*mt + e (3) Where D1 = 1 for phase 1 (Jan 1999 to Feb 2000) selective information = 0 other. D2 = 1 for phase II ( may 2000 to Sept 2001) information = 0 other impudent D3 1 for phase leash (Oct 2001 to Dec 2007) data = 0 other impudent(p) D4 = 1 for phase IV (Jan 2008 to no. 2008) data = 0 other sapient = return on stock I in period t. r i,t mt = return on market in period t. e = hallucination term and ? 0, ? 1, ? 2, ? 3, ? 4 & ? 5 = coefficients to be estimated. As thither argon 5 market phases, we use 4 breast variables in the higher up equivalence (3). The use of 5 bosom variable would lead to a tit variable trap. We slightness the fifth phase namely Dec-08 to Aug-09 as the base period. The moment of ? 2, ? 3, ? 4 and ? 5 lead tell us whether the of import is permanent everywhere the time periods or not.For the beta to be truly stable everyplace the integral period, all coefficients like, ? 2, ? 3, ? 4 and ? 5 should be statistically peanut and where we strike to accept the unserviceable realizable action. The system of logic is that if ? 2, ? 3, ? 4 and ? 5 ar in authoritative, the comparability reduces to the adjacent, thus implying that beta is stable over time. ri,t = ? 0 + ? 1*mt + e (4) th 3. 3. shew for geomorphologic or Parameter stableness of fixing translateative The eats attempt In the leash method, for geomorphologic or disceptation perceptual constancy of retrogression models, the grub ladder has been conducted (Gujarati, 2004).When we use a recidivateion model involving time series data, it whitethorn happen clxxx outside(a) investigate ledger of pay and political economy furnish 50 (2010) that thither is a morphologic change in the relationship surrounded by the regress and the regressors. By mor phologic change, we mean that the apprises of the line of reasonings of the model do not proceed the analogous through the perfect time period. We set off our sample data into quintette time periods according to the diametric market phases identified before.We thrust sixsome practicable degenerations for each stock ( phoebe bird throwbacks for each market phases and one for the solely ten year period). The degeneration comparabilitys be mentioned below. ri,t = ? 1 + ? 2mt + ut (5) (6) r i, t = ? 1 + ? 2mt + ut comp be (5) is for each market phases and comparison (6) is for the tout ensemble period. in that celebrate ar 128 observations (n=128) for the on the whole period and n1=14, n2=19, n3=75, n4=11 and n5=9 argon the number of observations for phase-I to phase-V respectively. The us in the supra infantile fixation equations re benefaction the error terms.Regression (6) assumes that at that place is no residuary over the cinque time periods and con sequently estimates the relationship amongst stock prices and market for the constitutional time period consisting of 128 observations. In other words, this turnaround assumes that the solicit as well as the hawk coefficient system the identical over the undefiled period that is, thither is no morphologic change. at one time the possible differences, that is, geomorphological changes, whitethorn be ca utilise by differences in the block up or the slope coefficient or both. This is examined with a testicle test called chow test ( cream puff, 1960). The mechanics of the chow test atomic number 18 as follows scratch line the fixation (6) is estimated, which is earmark if on that point is no contestation unbalance, and obtained the cut back counterweight sum of squ atomic number 18s (RSSR) with df = (n1+n2+n3+n4+n5) ? k, where k is the number of parameters estimated, 2 in the gravel expression. This is called limit residual sum of squargons because it is obtain ed by dreadful the counterweightrictions that the sub-period reversals be not varied. second estimated the phase refreshful other retroflexion equations and obtain its residual sum of squ atomic number 18s, RSS1 to RSS8 with degrees of freedom, df = (no of observations in each phase ? ). Since the basketball team sets of samples atomic number 18 deemed in figureent, in the troika tincture we can add RSS1 to RSS8 to obtain what whitethorn be called the discretionary residual sum of squ atomic number 18s (RSSUR) with df = (n1+n2+n3+n4+n5)? 2k. right away the idea keister the chuck test is that if in fact at that place is no geomorphologic change (i. e. , all phases lapses be essentially the homogeneous), and so the RSSR and RSSUR should not be statistically diverse. whence in the twenty-five percent step the chase ratio is formed to get the F- shelter. F = (RSSR ? RSSUR)/k / (RSSUR)/ ((n1 + n2+n3+n4+n5) ? 2k) F k, ((n1+n2+n3+n4+n5) ? 2k) (7)We cannot prot est the unavailing surmise of parameter stableness (i. e. , no morphologic change) if the computed F rate is not statistically operative (F mensurate does not put across the diminutive F time c be for obtained from the F table at the elect level of importee or the p look on). Contrarily, if the computed F honour is statistically satisfying (F abide by exceeds the broad(a) of life F judge), we recant the unserviceable assumption of parameter perceptual constancy and close that the phase snotty-nosed revertings atomic number 18 distinct. 4. analyse Results and Findings ab initio the beta coefficient is figure development the fair to the lowest degree whole (OLS) technique as defined in equation (1).The appraisal was carried out by victimization monthly return data for the 5 market phases for each of the 30 stocks. To comp be the phase perspicacious beta theme with the integral 10 year period, the same assessment alike carried out pickings the w hole 10 long time for each stock separately. fall wise beta set over 5 market phases and the entire period is account in appendix-2. From annexure-2, it is revealed that thither argon 14 stocks beta c atomic number 18 for is greater than 1 in phase I. This figure (beta jimmy greater than 1) has trim to 6, 11, 12 and 10 for phase-2 to phase-5 respectively.It is alike illustrated that, at that place ar 8 stocks whose beta evaluate is greater than 1 in respect to boilersuit between Jan-99 to Aug-09 and highest existence for Wipro of 1. 47. The stocks having beta value internationalist explore daybook of finance and economic science anesthetise 50 (2010) 181 more than 1 ar considered to be vapourific securities. It is sight that, as we increase the period of regard to full ten years period, at that place are less number of stocks be to be more vapourisable. away of the perfect 30 stocks considered in the field of force, sole(prenominal) one bon ton i. e .L&T has beta more than 1 in all phases including the boilersuit period. save none of the gilds general beta value is more than the phase wise betas. in that respect are seven companies (RIL, NALCO, ITC, GAIL, Hindustan Lever, zep Honda and Cipla) whose beta determine are less than 1 all through the phases including general period. These stocks are considered to be less volatile than the market. in that location are 3 companies (Cipla, ITC and Hindustan Lever) late beta value (Dec 2008 to luxurious 2009) is prohibit, where Ciplas phase I beta value is excessively negative along with other two stocks like navigate and NALCO.It is discover from annexure-2 that at that place are just now two companies from the computer software sector (Infosys and Wipro) whose beta determine are systematically declining over time. However in that respect are 7 stocks to wit Cipla, sunlightpharma, Wipro, Grasim, Hindustan Lever, Infosys and ITC whose beta value are demo a fall r ationalize from phase 3 onwards, succession Tata blade is the nevertheless stock whose beta determine are present an increase rationalize during the same period. It is sight from the annexure-2 that, on an general base of operations 29 out of 30 stocks be in possession of their beta set statistically operative at 5% level.This number has varied from 8 to 30 over the respective(a) phases, indicating that the beta set of the stocks dupe fluctuated in reality. This implies that the volatility of the stocks depend on the market phases i. e. bearish or bullish. so the result rejects the trifling possible action that the beta is stable over unhomogeneous market phases. The slide fastener opening is spurned in 29 out of 30 cases in case of general period, plot of land 30 out of 30 cases in respect to phase-3. Since the period of estimation of beta is more in case of general period and in phase-3, the obtained results are connatural in both the cases. merely th e be phase wise results do not follow any invention. In respect of period of estimating the value of cohere the results are alike(p) to the finding of Baesel (1974) and Altman et al (1974). It is mentioned previous that to examine the constancy of beta over assorted market phases, cardinal separate models have been used in paper. The results obtained from these models are interpreted in the following paragraphs. The estimated results for regression model-2 that includes t*mt as a separate variable are depict in annexure-3.It is discover that the value of R2, a measure of probity of fit varies from 0. 11 to 0. 61. It is only in 5 out of 30 regression results, the value is greater than 0. 50. The coefficient of mt (? 1) is found to be highly statistically profound at 5% level in 19 out of 30 cases. It is in 11 regressions, the coefficient is statistically in monumental. As discussed earlier, the logical implication of the coefficient of variable t*mt implies the rejecti on of the unavailing opening of stable beta over time. It is sight that the coefficient (? ) is large in 14 cases out of 30. The regression results channelise that in 50% cases the futile surmisal of perceptual constancy of beta over the market phases is spurned. This heart and soul 50% stocks describe constancy of beta over diametrical phases. So model (2) cannot interpolate that beta is not stable over market phases. The estimated results for coefficients for regression model-3 that in integrateds dummy variables are depict in annexure-4. It is spy from the results that the R2 value fluctuates from 0. 15 to 0. 62 and in case of 8 stocks this value is greater than 0. 0. It is mentioned earlier that the trivial supposal of constancy of beta will be rejected if any of the coefficients (? 2, ? 3, ? 4 & ? 5) tally to D1*mt, D2*mt, D3*mt or D4*mt were found to be statistically meaning(a). It is observed from the results presented in appendix-4, that on that poin t are 17 out of 30 stocks delineated statistically significant at 5% level at least one of the coefficient. on that point are only 2 cases where 3 coefficients are significant and none of the stocks describe significant for all the 4 coefficients. just in 6 cases where 2 out of 4 coefficients are inform significant, where as in 9 cases depicted significant only for one coefficient. The final result of this model in legal brief can be give tongue to that, in case of 17 stocks out of 30 stocks, the stability of beta shot is rejected meaning, in emit 13 cases on that point is a stability of beta over the market phases. 182 planetary explore journal of finance and political economy liberate 50 (2010) The estimated results of grub test are depicted in annexure-5. The results show that, 12 out of 30 cases the F-value is statistically significant and counterpoise 18 stocks are describe unnoticeable at 5% level.Based on the F- statistics and its corresponding p-value, the w orthless guess of beta stability over the market phases is rejected in 12 cases and authentic in 18 cases. The F- set are alike back up by log likelihood ratio and it p- set, which alike describe statistical moment in 12 cases. The vector sum of chow chow test confirms that the beta value are not stable or there is a geomorphologic change in 12 out of 30 stocks in contrary market phases. But the nap 18 stocks account stability or no structural change in beta value over the market phases.From the above deliberations, it is observed that all the tether models describe above exhibit a mingled and chimerical result. on that point are 14, 17 and 12 stocks are statistically significant as per model2, model-3 and model-7 respectively. This essence as per model-2 the beta set of 14 stocks out of 30 stocks are instable over the period. But this number is 17 and 12 in case of model3 and 7 respectively. However, on the basis of results obtained from assorted models, it is not possible to end that the beta determine of the stocks are stable or instable over the market phases.But if we nigh behold at the results obtained from three models, it is very ostensible that in case of 9 stocks where all the three models delineate sympathetic results and rejected the naught hypothesis. These stocks include sunbathe pharmaceutical, Wipro, Tata motors, Tata stain, Hindalco, Hindustan Unilever, HDFC, Infosys and ezed fun. This indicates that beta value are not stable over the market phases in these 9 stocks. in like manner there are 6 stocks where two models recommended derangement of beta and 4 stocks where only one model report a change in beta value over the period.There are 11 cases where none of the models rejected the nil hypothesis, which proven that the beta value are stable over the time in these stocks. 5. closure The objective of the present excogitate is to examine the stability of beta in distinct Indian market phases. For the purpos e of the study monthly return data of 30 stocks for the period from 1999 to 2009 is considered. Considering the bullish and bearish condition in the Indian market, we divided the whole 10 years into 5 antithetical market phases. ab initio the beta has been estimated for different market phases and in like manner pickings the whole 10 years period.The results show that the beta determine are not screening any ill-tempered pattern but in the boilers suit phase more or less all the stocks are statistically significant. push the beta stability is examined victimisation three different models. In the first method the beta coefficient is metric considering the market phases as time variable. The results show that in 50% of cases the nobody hypothesis is rejected as the beta is stable over different market phases. In the comparable line the results obtained in respect to model two states that in 17 out of 30 cases the zero hypothesis is rejected.This confirms that in 17 ca ses the stability of beta is not there over the market phases but in rest 13 cases it stable over the market phases. In the triplet method of investigating beta stability, the cabbage test has been conducted. The F-statistics under Chow test reveals that, beta is instable in 12 out of 30 stocks considered in the study in different market phases. We can thus in the end conclude that the results obtained from different models are conflate and inconclusive in nature, where it is less ground to conclude that the beta values are stable or instable over the market phases.But there are 9 stocks which gives a strong indicant that their beta values are not stable over the market phases. In these 9 cases, all the three models inform standardised signal of beta mental un buy the farmness over the market phases. The instability of beta has its implications in taking sound corporate pecuniary decisions. pecuniary decisions should not be based on the general beta of the high society. Rather, the companys periodical beta should be relied upon for taking certain managerial decisions.Considering the inconclusive results obtained from present study, it is suggested that the future research on beta in Indian market may be investigated from (a) industry wise stability of beta in different market phases (b) stability of beta from portfolio point of view (c) optimal time limit for stability of beta (d) forward looking beta and its stability (e) invasion of market and company specific factors and stability of beta and (f) market efficiency study using phase wise beta under the event study methodology. internationalist look into diary of finance and economic science electric outlet 50 (2010) 83 References 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 Allen R G, Impson C M and Karafiath I (1994), An experiential investigating of Beta stableness Portfolios vs. respective(prenominal) Securities, journal of parentage pay & chronicle, Vol. 21, none 6. 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Vipul (1999) overbearing Risk Do Size, persistence and liquid subject area? , Prajanan, Vol. XXVII, No. 2, 1999. 26 27 28 29 30 31 32 33 34 185 global explore Journal of Finance and economic science smother 50 (2010) Annexure-1 calendar month celestial latitude 1998 January 1999 February 1999 certify 1999 April 1999 whitethorn 1999 June 1999 July 1999 revered 1999 kinsfolk 1999 October 1999 November 1999 celestial latitude 1999 January 2000 February 2000 bump into 2000 April 2000 whitethorn 2000 June 2000 July 2000 lofty 2000 kinfolk 2000 October 2000 November 2000 celestial latitude 2000 January 2001 February 2001 jar against 2001 April 2001 whitethorn 2001 June 2001 July 2001 imperious 2001 family 2001 October 2001 November 2001 declination 2001 January 2002 February 2002 frame in 2002 April 2002whitethorn 2002 June 2002 July 2002 majestic 2002 folk 2002 October 2002 November 2002 celestial latitude 2002 January 2003 February 2003 frame in 2003 April 2003 may 2003 June 2003 July 2003 imperious 2003 kinfolk 2003 October 2003 November 2003 declination 2003 January 2004 February 2004 identification of commercialise casts closure Price Return (R) 1+R accumulative wealth indication Market Phases 1359. 03 1461. 52 1506. 95 165 1. 37 1449. 64 1714. 02 1790. 51 1988. 06 2192. 94 2213. 33 2071. 50 2253. 29 2624. 49 2875. 37 3293. 29 2902. 20 2396. 22 2156. 99 2397. 06 2153. 26 2306. 07 2075. 67 1916. 99 2061. 18 2032. 20 2209. 31 2139. 72 1691. 71 1682. 1 1763. 35 1630. 02 1564. 46 1534. 73 1312. 50 1389. 17 1557. 01 1557. 22 1592. 27 1707. 72 1716. 28 1671. 63 1596. 71 1650. 34 1506. 23 1580. 55 1473. 88 1458. 78 1594. 03 1664. 67 1600. 87 1628. 72 1500. 72 1470. 31 1641. 44 1819. 36 1893. 45 2229. 25 2314. 62 2485. 43 2594. 34 3074. 87 2946. 14 2923. 99 0. 08 0. 03 0. 10 -0. 12 0. 18 0. 04 0. 11 0. 10 0. 01 -0. 06 0. 09 0. 16 0. 10 0. 15 -0. 12 -0. 17 -0. 10 0. 11 -0. 10 0. 07 -0. 10 -0. 08 0. 08 -0. 01 0. 09 -0. 03 -0. 21 -0. 01 0. 05 -0. 08 -0. 04 -0. 02 -0. 14 0. 06 0. 12 0. 00 0. 02 0. 07 0. 01 -0. 03 -0. 04 0. 03 -0. 09 0. 05 -0. 07 -0. 01 0. 09 0. 04 -0. 04 0. 2 -0. 08 -0. 02 0. 12 0. 11 0. 04 0. 18 0. 04 0. 07 0. 04 0. 19 -0. 04 -0. 01 1. 08 1. 03 1. 10 0. 88 1. 18 1. 04 1. 11 1. 10 1. 01 0. 94 1. 0 9 1. 16 1. 10 1. 15 0. 88 0. 83 0. 90 1. 11 0. 90 1. 07 0. 90 0. 92 1. 08 0. 99 1. 09 0. 97 0. 79 0. 99 1. 05 0. 92 0. 96 0. 98 0. 86 1. 06 1. 12 1. 00 1. 02 1. 07 1. 01 0. 97 0. 96 1. 03 0. 91 1. 05 0. 93 0. 99 1. 09 1. 04 0. 96 1. 02 0. 92 0. 98 1. 12 1. 11 1. 04 1. 18 1. 04 1. 07 1. 04 1. 19 0. 96 0. 99 1. 08 1. 11 1. 22 1. 07 1. 26 1. 32 1. 46 1. 61 1. 63 1. 52 1. 66 1. 93 2. 12 2. 42 0. 88 0. 73 0. 65 0. 73 0. 65 0. 70 0. 63 0. 58 0. 63 0. 62 0. 67 0. 65 0. 51 0. 51 0. 54 0. 9 0. 48 0. 47 0. 40 1. 06 1. 19 1. 19 1. 21 1. 30 1. 31 1. 27 1. 22 1. 26 1. 15 1. 20 1. 12 1. 11 1. 21 1. 27 1. 22 1. 24 1. 14 1. 12 1. 25 1. 39 1. 44 1. 70 1. 76 1. 89 1. 98 2. 34 2. 24 2. 23 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 186 sue 2004 April 2004 may 2004 June 2004 July 2004 frightful 2004 kinsfolk 2004 October 2004 November 2004 celestial latitude 2004 January 2005 February 2005 process 2005 April 2005 white thorn 2005 June 2005 July 2005 rarified 2005 kinsfolk 2005 October 2005 November 2005 ecember 2005 January 2006 February 2006 work on 2006April 2006 whitethorn 2006 June 2006 July 2006 marvelous 2006 kinfolk 2006 October 2006 November 2006 ecember 2006 January 2007 February 2007 March 2007 April 2007 whitethorn 2007 June 2007 July 2007 magisterial 2007 September 2007 October 2007 November 2007 December 2007 January 2008 February 2008 March 2008 April 2008 May 2008 June 2008 July 2008 high-flown 2008 September 2008 October 2008 November 2008 December 2008 January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 supranational inquiry Journal of Finance and economics military issue 50 (2010) 2966. 31 3025. 14 2525. 35 2561. 16 2755. 22 2789. 07 2997. 97 027. 96 3339. 75 3580. 34 3521. 71 3611. 90 3481. 86 3313. 45 3601. 73 3800. 24 4072. 15 4184. 83 4566. 63 4159. 59 4649. 87 4953. 28 5224. 97 5422. 67 5904. 17 6251. 39 5385. 21 5382. 11 542 2. 39 5933. 77 6328. 33 6603. 60 6931. 05 6982. 56 7145. 91 6527. 12 6587. 21 7032. 93 7468. 70 7605. 37 8004. 05 7857. 61 8967. 41 10391. 19 10384. 40 11154. 28 9440. 94 9404. 98 8232. 82 9199. 46 8683. 27 7029. 74 7488. 48 7621. 40 6691. 57 4953. 98 4600. 45 4988. 04 4790. 32 4516. 38 4942. 51 5803. 97 7620. 13 7571. 49 8176. 54 8225. 50 0. 01 0. 02 -0. 17 0. 01 0. 08 0. 01 0. 07 0. 01 0. 10 0. 07 -0. 02 0. 03 -0. 04 -0. 05 0. 9 0. 06 0. 07 0. 03 0. 09 -0. 09 0. 12 0. 07 0. 05 0. 04 0. 09 0. 06 -0. 14 0. 00 0. 01 0. 09 0. 07 0. 04 0. 05 0. 01 0. 02 -0. 09 0. 01 0. 07 0. 06 0. 02 0. 05 -0. 02 0. 14 0. 16 0. 00 0. 07 -0. 15 0. 00 -0. 12 0. 12 -0. 06 -0. 19 0. 07 0. 02 -0. 12 -0. 26 -0. 07 0. 08 -0. 04 -0. 06 0. 09 0. 17 0. 31 -0. 01 0. 08 0. 01 1. 01 1. 02 0. 83 1. 01 1. 08 1. 01 1. 07 1. 01 1. 10 1. 07 0. 98 1. 03 0. 96 0. 95 1. 09 1. 06 1. 07 1. 03 1. 09 0. 91 1. 12 1. 07 1. 05 1. 04 1. 09 1. 06 0. 86 1. 00 1. 01 1. 09 1. 07 1. 04 1. 05 1. 01 1. 02 0. 91 1. 01 1. 07 1. 06 1. 02 1. 05 0. 98 1. 14 1. 16 1. 00 1. 07 0. 85 1. 00 0. 88 1. 12 . 94 0. 81 1. 07 1. 02 0. 88 0. 74 0. 93 1. 08 0. 96 0. 94 1. 09 1. 17 1. 31 0. 99 1. 08 1. 01 2. 26 2. 30 1. 92 1. 95 2. 10 2. 13 2. 28 2. 31 2. 54 2. 73 2. 68 2. 75 2. 65 2. 52 2. 74 2. 90 3. 10 3. 19 3. 48 3. 17 3. 54 3. 77 3. 98 4. 13 4. 50 4. 76 4. 10 4. 10 4. 13 4. 52 4. 82 5. 03 5. 28 5. 32 5. 44 4. 97 5. 02 5. 36 5. 69 5. 79 6. 10 5. 99 6. 83 7. 92 7. 91 8. 50 0. 85 0. 84 0. 74 0. 82 0. 78 0. 63 0. 67 0. 68 0. 60 0. 44 0. 41 1. 08 1. 04 0. 98 1. 07 1. 26 1. 66 1. 65 1. 78 1. 79 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 4 4 4 4 4 4 4 4 4 4 4 5 5 5 5 5 5 5 5 5International Research Journal of Finance and political economy expiration 50 (2010) Annexure-2 Beta values of individual securities over all the five phases boilers suit Phase I Phase II Phase iii Phase IV ? p-val ? p-val ? p-val ? p-val ? p-val Bharat levelheaded Electricals Ltd. 0. 86 0. 00* 0. 67 0. 21 1. 1 8 0. 00* 1. 10 0. 00* 0. 80 0. 02* Bharat oil color Corpn. Ltd. 0. 80 0. 00* 1. 02 0. 15 0. 66 0. 06 1. 13 0. 00* 1. 30 0. 06 Cipla Ltd. 0. 51 0. 00* -0. 04 0. 95 0. 75 0. 02* 0. 80 0. 00* 0. 51 0. 07 insolate pharmaceutic Inds. Ltd. 0. 69 0. 00* 1. 13 0. 15 0. 80 0. 08 0. 57 0. 00* 0. 74 0. 00* Ranbaxy Laboratories Ltd. 0. 94 0. 00* 1. 19 0. 3 0. 63 0. 03* 0. 78 0. 00* 1. 07 0. 10 Wipro Ltd. 1. 47 0. 00* 2. 79 0. 02* 2. 63 0. 00* 0. 88 0. 00* 0. 87 0. 00* belief nucleotide Ltd. 1. 24 0. 00* 1. 38 0. 02* 0. 26 0. 39 1. 20 0. 00* 1. 50 0. 00* Larsen & Toubro Ltd. 1. 30 0. 00* 1. 12 0. 08 1. 70 0. 00* 1. 21 0. 00* 1. 07 0. 00* realm entrust Of India 1. 01 0. 00* 1. 22 0. 08 0. 86 0. 00* 1. 03 0. 00* 1. 08 0. 01* Tata Motors Ltd. 1. 20 0. 00* 1. 07 0. 08 -0. 13 0. 65 1. 11 0. 00* 1. 20 0. 00* vegetable oil & natural splash Corpn. Ltd. 0. 79 0. 00* 0. 43 0. 47 0. 59 0. 03* 1. 06 0. 00* 1. 03 0. 01* stain liberty Of India Ltd. 1. 23 0. 00* -0. 31 0. 68 0. 99 0. 00* 1. 54 0. 0* 1. 12 0. 01* Tata steel Ltd. 1. 22 0. 00* 0. 79 0. 17 0. 64 0. 05* 1. 25 0. 00* 1. 39 0. 00* Grasim Industries Ltd. 0. 94 0. 00* 1. 24 0. 13 0. 91 0. 01* 0. 95 0. 00* 0. 86 0. 00* H D F C cuss Ltd. 0. 79 0. 00* 1. 38 0. 03* 0. 36 0. 10 0. 68 0. 00* 0. 98 0. 00* triggerman Honda Motors Ltd. 0. 47 0. 00* 0. 24 0. 64 0. 04 0. 85 0. 79 0. 00* 0. 93 0. 00* Hindalco Industries Ltd. 1. 00 0. 00* 0. 03 0. 95 0. 39 0. 06 1. 22 0. 00* 1. 44 0. 00* Hindustan Unilever Ltd. 0. 49 0. 00* 0. 78 0. 01* 0. 42 0. 06 0. 77 0. 00* 0. 67 0. 00* HDFC Ltd. 0. 74 0. 00* 0. 77 0. 01* 0. 50 0. 06 0. 85 0. 00* 1. 01 0. 00* Infosys Technologies Ltd. . 91 0. 00* 1. 33 0. 05* 1. 30 0. 00* 0. 73 0. 00* 0. 67 0. 06 G A I L (India) Ltd. 0. 49 0. 00* 0. 00 1. 00 0. 46 0. 11 0. 79 0. 00* 0. 34 0. 18 I C I C I bound Ltd. 0. 84 0. 00* 1. 85 0. 05* 0. 06 0. 88 0. 50 0. 00* 0. 57 0. 14 I T C Ltd. 0. 37 0. 00* 0. 54 0. 13 0. 57 0. 01* 0. 42 0. 00* 0. 27 0. 24 theme atomic number 13 Co. Ltd. 0. 49 0. 00* -0. 31 0. 75 0. 24 0. 37 0. 73 0. 00* 0. 21 0. 69 Indian anoint Corpn. Ltd. 0. 87 0. 10 0. 32 0. 56 0. 65 0. 00* 1. 24 0. 00* 0. 75 0. 01* creed Industries Ltd. 0. 51 0. 00* 0. 34 0. 47 0. 08 0. 81 0. 41 0. 00* 0. 74 0. 06 Sterlite Industries (India) Ltd. 1. 11 0. 00* 0. 99 0. 14 1. 3 0. 09 0. 87 0. 00* 0. 01 0. 96 Tata communication theory Ltd. 0. 78 0. 00* 1. 10 0. 05* 1. 18 0. 00* 0. 87 0. 00* 0. 85 0. 09 Unitech Ltd. 0. 79 0. 00* 0. 47 0. 14 0. 48 0. 02* 0. 87 0. 00* 0. 21 0. 47 omega Entertainment Ent. Ltd. 1. 00 0. 00* 1. 39 0. 08 0. 72 0. 07 0. 78 0. 00* 1. 13 0. 03* * indicates moment of coefficient at 5% level of significant surname of the club Annexure-3 187 Phase V ? p-val 0. 74 0. 00* 0. 48 0. 03* -0. 13 0. 65 0. 16 0. 55 1. 96 0. 01* 0. 78 0. 10 2. 46 0. 00* 1. 77 0. 00* 1. 55 0. 00* 1. 33 0. 02* 0. 94 0. 01* 1. 66 0. 00* 2. 07 0. 00* 0. 41 0. 29 0. 96 0. 00* 0. 29 0. 21 1. 63 0. 01* -0. 1 0. 68 0. 95 0. 00* 0. 07 0. 83 0. 38 0. 03* 1. 35 0. 02* -0. 01 0. 95 0. 50 0. 19 0. 9 8 0. 02* 0. 57 0. 10 0. 85 0. 03* 0. 43 0. 15 1. 27 0. 11 0. 74 0. 07 Estimates of regression equation using measure as a Variable realise of the familiarity Bharat flagitious Electricals Ltd. Bharat oil color Corpn. Ltd. Cipla Ltd. Sun pharmaceutical Inds. Ltd. Ranbaxy Laboratories Ltd. Wipro Ltd. corporate trust al-Qaida Ltd. Larsen & Toubro Ltd. State curse Of India Tata Motors Ltd. cover & natural artillery Corpn. Ltd. brand name ascendency Of India Ltd. Tata Steel Ltd. Grasim Industries Ltd. H D F C fix Ltd. wedge shape Honda Motors Ltd. Hindalco Industries Ltd.Hindustan Unilever Ltd. HDFC Ltd. continual 0. 02 0. 01 0. 02 0. 03 0. 01 0. 01 0. 01 0. 01 0. 01 0. 00 0. 01 0. 02 0. 01 0. 01 0. 02 0. 02 0. 00 0. 00 0. 02 mt (? 1) 0. 56 (0. 03) 0. 79 (0. 02) 0. 94 (0. 00) 1. 69 (0. 00) 0. 63 (0. 05) 3. 35 (0. 00) 0. 25 (0. 44) 1. 10 (0. 00) 0. 71 (0. 00) 0. 61 (0. 02) 0. 25 (0. 38) 0. 26 (0. 51) 0. 01 (0. 99) 0. 97 (0. 00) 0. 92 (0. 00) 0. 19 (0. 42) -0. 12 (0. 60) 0. 91 (0. 00) 0. 37 (0. 04) t*mt (? 2) 0. 10 (0. 22) 0. 00 (0. 96) -0. 14 (0. 10) -0. 33 (0. 00)* 0. 10 (0. 29) -0. 62 (0. 00)* 0. 33 (0. 00)* 0. 07 (0. 37) 0. 10 (0. 17) 0. 20 (0. 02)* 0. 18 (0. 03)* 0. 32 (0. 01)*