| Panel A | ||||
|---|---|---|---|---|
| Variance Decomposition of LOGNUM: | ||||
| Period | S.E. | LOGNUM | PRICE | |
| 1 | 0.109834 | 100.0000 | 0.000000 | |
| 2 | 0.126368 | 98.16664 | 1.833363 | |
| 3 | 0.132206 | 97.95752 | 2.042484 | |
| 4 | 0.135081 | 97.75940 | 2.240599 | |
| 5 | 0.137277 | 97.36147 | 2.638526 | |
| 6 | 0.138903 | 96.51944 | 3.480556 | |
| 7 | 0.140458 | 95.17571 | 4.824291 | |
| 8 | 0.142301 | 93.23760 | 6.762401 | |
| 9 | 0.144631 | 90.68687 | 9.313127 | |
| 10 | 0.147519 | 87.60072 | 12.39928 | |
| Panel B | ||||
| Variance Decomposition of LOGNUM: | ||||
| Period | S.E. | LOGNUM | VOL | PRICE |
| 1 | 0.109996 | 100.0000 | 0.000000 | 0.000000 |
| 2 | 0.127287 | 96.46217 | 0.069146 | 3.468679 |
| 3 | 0.134413 | 93.99562 | 0.367592 | 5.636789 |
| 4 | 0.138925 | 91.39712 | 1.098090 | 7.504792 |
| 5 | 0.143288 | 88.37772 | 2.094658 | 9.527625 |
| 6 | 0.147597 | 84.99301 | 2.945924 | 12.06107 |
| 7 | 0.151879 | 81.46173 | 3.524735 | 15.01353 |
| 8 | 0.156194 | 77.93753 | 3.838698 | 18.22377 |
| 9 | 0.160607 | 74.52349 | 3.943523 | 21.53298 |
| 10 | 0.165145 | 71.27851 | 3.902766 | 24.81873 |