Index

S&P/TSX

DAX

FTSE100

CAC40

AEX

R Square

0.0997

0.1295

0.3052

0.1671

0.1204

λ

244.30^**

157.15^***

113.15^***

72.52^***

0.65^***

(0.013)

(0.004)

(0.0000)

(0.001)

(0.006)

α

−2.92

−18.40

−48.55^**

−10.93

0.08

(0.970)

(0.680)

(0.0110)

(0.5320)

(0.6600)

Index

NIKKEI

HANGSENG

KOSPI

ASX

IBOVESPA

R Square

0.1583

0.0368

0.0626

0.1224

0.049

λ

921.72^***

651.05

5.73^*

43.92^***

5134.66^**

(0.001)

(0.1390)

(0.0520)

(0.006)

(0.086)

α

−59.39

563.67^**

1.95

−2.65

3638.62

(0.7430)

(0.0760)

(0.3290)

(0.817)

(0.1000)