Table 7.

Results of panel regression test: stock return (SR).

SR	Coefficient	t-statistics	p-value
Constant	2.2626	0.1331	0.8943
ΔGDP	0.0993	0.3138	0.7506
ΔTA	0.0901	1.6075	0.1100
SIZE	0.0646	0.0582	0.9537
D921	−14.5338	−2.5541	0.0114∗∗∗
D911	−14.7798	−2.5867	0.0104∗∗∗
DSARS	−15.2777	−1.7401	0.0833∗
F-statistics [p-value] = 2.0312 [0.0629]∗, Adjusted R2 = 0.0562

Note: Sample observations = 220.

∗Significance at the 10% level.

∗∗Significance at the 5% level.

∗∗∗Significance at the 1% level.