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ijcrb.webs.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS Annexure Table 1: Descriptive Statistics JUNE 2011 VOL 3, NO 2 Rm CASD Mean 0.004800 0.046220 Median 0.006220 0.036520 Maximum 0.083818 0.162376 Minimum -0.102751 0.001712 Std. Dev. 0.035072 0.029694 Skewness -0.269075 1.775596 Kurtosis 4.292912 7.346902 Jarque-Bera 4.494479 72.20244 Probability 0.105691 0.000000 CSAD Table 2 : CSAD Regression T = α + γ R + γ R + ε 1 m, t 2 2 m, t t Coefficient Std. Error t-Statistic Prob. α 0.386366 0.012608 30.644511 0.0000 γ 1 0.462020 0.076662 6.026714 0.0000 γ 2 -1.302230 0.429467 -3.032194 0.0025 R-squared 0.563608 Mean dependent var 0.046220 Adjusted R-squared 0.546824 S.D. dependent var 0.029694 S.E. of regression 0.019990 Akaike info criterion -4.934200 Sum squared resid 0.020779 Schwarz criterion -4.824709 Log likelihood 138.6905 Hannan-Quinn criter. -4.891859 F-statistic 33.57952 Durbin-Watson stat 1.454643 Prob(F-statistic) 0.000000 COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 1848
ijcrb.webs.com JUNE 2011 INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS VOL 3, NO 2 Tableau 3: Herding behavior in the Tunisian stock market at the upward and downward Variables Coefficient Std. Error t-Statistic 0,163781*** 0,032156 5,093326 0,186541** 0,084356 2,211354 -0,326524 1, 321687 0,247050 = 0,38593 Variables Coefficients Std. Error t-Statistic 0,186214*** 0,012608 14,781567 0,362021*** 0,076662 4,722300 -1,022324*** 0,294678 3,469291 =0,54241 ***, **,* : significance levels respectively 1%, 5% and 10% COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 1849
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