Table 1.

Summary of Descriptive Statistics and panel unit root tests.

PANEL A	VIX changes	Stock changes	GTR changes
Mean	0.0206	−0.0041	0.0154
Maximum	0.6195	0.1041	1.0147
Minimum	−0.5680	−0.1854	−0.3403
Std. Dev.	0.1189	0.0316	0.1264
Skewness	0.7166	−0.8193	3.4279
Kurtosis	5.7993	7.2707	23.4897
Observations	767	767	767
Cross sections	13	13	13

PANEL B	VIX changes				Stock changes				GTR changes
	Cross-				Cross-				Cross-
Method	Statistic	Prob.	sections	Obs.	Statistic	Prob.	sections	Obs.	Statistic	Prob	sections	Obs.
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t-stat*	−23.431	0.00***	13	767	−26.159	0.00***	13	767	−19.979	0.00***	13	767
Null: Unit root (assumes individual unit root process)
Im, Pesaran and Shin W-stat	−23.593	0.00***	13	767	−23.625	0.00***	13	767	−21.332	0.00***	13	767
ADF - Fisher Chi-square	426.631	0.00***	13	767	424.321	0.00***	13	767	344.034	0.00***	13	767
PP - Fisher Chi-square	460.068	0.00***	13	767	525.935	0.00***	13	767	424.341	0.00***	13	767

Notes: Panel A of the table reports the descriptives statistics for VIX changes, stock changes and google trend indicator (GTR) changes. Panel B of the table includes the panel unit root tests results for VIX changes, stock market changes and google trend indicator (GTR) changes. The main research hypothesis tested is the following: H₀: unit root is present. The upper part of the table presents the values of the Levin, Lin & Chu t-statistic and the relevant P-values (see column entitled Prob.). This test assumes common unit root processes across the 13 markets. The lower part of the table presents the relevant values for tests assuming individual unit root process across markets. *** indicates statistical significance at the 1% level.