Table 2.

COVID-19 effect on herding behavior.

	Model	${\mathrm{R}}_{\mathrm{m},\mathrm{t}}$ >0	${\mathrm{R}}_{\mathrm{m},\mathrm{t}}$ <0	${\mathrm{\sigma }}^{\mathrm{H}\mathrm{I}\mathrm{G}\mathrm{H}}>{\mathrm{\sigma }}_{\mathrm{t}-30}^{\mathrm{M}\mathrm{A}}$	${\mathrm{V}\mathrm{o}\mathrm{l}}^{\mathrm{H}\mathrm{I}\mathrm{G}\mathrm{H}}>{\mathrm{V}\mathrm{o}\mathrm{l}}_{\mathrm{t}-30}^{\mathrm{M}\mathrm{A}}$	${\mathrm{V}\mathrm{o}\mathrm{l}}^{\mathrm{L}\mathrm{O}\mathrm{W}}>{\mathrm{V}\mathrm{o}\mathrm{l}}_{\mathrm{t}-30}^{\mathrm{M}\mathrm{A}}$
${\mathrm{\beta }}_1$	0.477*** (0.028)	0.566*** (0.038)	0.428*** (0.054)	0.634*** (0.030)	0.482*** (0.033)	0.651*** (0.035)
${\mathrm{\beta }}_2$	0.214*** (0.011)	0.260*** (0.015)	0.182*** (0.016)	0.169*** (0.017)	0.110*** (0.016)	0.355*** (0.019)
${\mathbf{\beta }}_{\mathbf{3}}$	−2.128*** (0.314)	−2.756*** (0.818)	−1.230*** (0.726)	−1.740*** (0.544)	−0.162*** (0.581)	−2.955*** (0.817)
${\mathrm{\beta }}_4$	1.668*** (0.198)	1.719*** (0.247)	1.528*** (0.316)	2.296*** (0.498)	2.907*** (0.451)	1.345*** (0.545)
α	0.007*** (0.000)	0.007*** (0.000)	0.008*** (0.000)	0.008*** (0.000)	0.008*** (0.000)	0.009*** (0.000)
Obs.	2381	1169	1212	1345	1190	1429
R-squared	0.469	0.401	0.396	0.313	0.323	0.369
Adjusted ${\mathrm{R}}^2$	0.466	0.399	0.394	0.311	0.319	0.366
F-Statistic	102.982	121.044	85.252	119.724	109.877	79.608
Prob. (F-Statistic) t-stat1	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***
(${\mathrm{H}}_0:{\mathrm{\beta }}_1={\mathrm{\beta }}_2$) t-stat1	220.8***	198.4***	99.12***	178.3***	57.96***	298.1***
(${\mathrm{H}}_0:{\mathrm{\beta }}_3={\mathrm{\beta }}_4$)	46.11***	30.29***	8.252***	34.77***	42.38***	285.1***

Notes: standard errors in parentheses. ***p < 0.01.