"... In PAGE 45: ... Table8 repeats this calculation for the (24x1) covariance matrix of the white noise process driving the Nordpool spot prices. This table is very different from the one for the E amp;W prices.... ..."

"... In PAGE 46: ... Table8 repeats this calculation for the (24x1) covariance matrix of the white noise process driving the Nordpool spot prices. This table is very different from the one for the E amp;W prices.... ..."

"... In PAGE 16: ... (13) 5 Empirical Results 5.1 Quadravariate VAR: Returns, LIQ, Turnover, and Dividend Yields In Table5 , we present estimation results for both Samples I and II for a quadravariate VAR(1), which includes excess returns, market liquidity, equity market turnover, and div- idend yields in the set of endogenous variables. First, the excess returns display positive autocorrelation, on average across the countries, for both samples, consistent with Harvey (1995).... In PAGE 18: ...Table5 also displays the Cholesky decomposition of the VAR innovation variance-covariance matrix. Re- call, the variance covariance matrix is allowed to differ across liberalization regimes.... In PAGE 19: ... We also present estimates of cer- tain elements of the Cholesky decomposition that describes the contemporaneous covariance between liquidity and return shocks. The other general effects are broadly unchanged from the quadravariate VAR specification presented in Table5 , and are not reported to conserve space. First, for the bivariate specification, the lagged liquidity measure predicts excess returns across both samples considered, consistent with the pooled regression results presented in Ta- ble 4.... In PAGE 19: ... Table 6 also displays several components of the Cholesky decomposition of the VAR inno- vation variance-covariance matrix . The first estimate (c21), associated with the contempo- raneous covariance between return and liquidity shocks, is nearly identical to the estimates presented in Table5 for the full specification. Because of the nature of the Cholesky decom-... In PAGE 38: ...009 0.013 Quadravariate This table presents maximum likelihood estimates for three alternative VAR specifications: a bivariate VAR including excess returns and LIQ; a trivariate VAR (A) including excess return, LIQ, and turnover; and a trivariate VAR (B) including excess returns, LIQ, and the dividend yield, as well as the quadravariate estimates presented in Table5 . As in Table 5, the Official Liberalization indicator is included in all cases as an additional exogenous variable.... ..."

"... In PAGE 7: ... The final result is a restricted VAR that is generally much simpler than the unrestricted VAR with the same order of lags. While we do not present the estimation results of the final restricted model, we provide Table6 to show the simplification that occurred. Misspecification tests We computed the within-sample residuals of the actual value of the dependent variable less its predicted value and applied various tests on the residuals.... In PAGE 18: ...Table6... ..."