Table 3.

Regression results.

Dependent	World	USA	uti	bm	cgd	fin	csv	health	pharm	tele	indu	tran	air
Panic	0.067***	0.091**	0.127*	0.160**	0.0872**	0.186*	1.482	0.566	0.117	0.0798	0.151**	0.110***	6.3
	3.29	2.5	−2.61	−2.81	−2.69	−2.46	−0.84	−0.26	−1.34	−0.19	−2.84	−3.87	−0.88
Media Coverage	−0.056*	−0.076	−0.106	−0.14	−0.0724	−0.165	−1.68	−0.229	−0.114	0.0276	−0.128	−0.0916*	−7.097
	(1.79)	(1.36)	(−1.40)	(−1.58)	(−1.44)	(−1.40)	(−0.62)	(−0.07)	(−0.84)	−0.04	(−1.54)	(−2.08)	(−0.63)
Sentiment Index	−.070	−0.136*	−0.294**	−0.294*	−0.122	−0.282	−1.704	−1.744	−0.081	−0.204	−0.191	−0.0188	−8.064
	(1.55)	(1.68)	(−2.72)	(−2.32)	(−1.69)	(−1.68)	(−0.44)	(−0.37)	(−0.42)	(−0.22)	(−1.61)	(−0.30)	(−0.50)
Constant	0.550*	0.917***	1.680***	1.833***	0.837**	1.899**	13.63	9.461	0.853	1.094	1.364**	0.524*	61.07
	2.99	2.80	(3.85)	(3.58)	(2.88)	(2.80)	(0.87)	(0.49)	(1.09)	(0.30)	(2.85)	(2.06)	(0.95)
R${}^2$	0.4346	0.3392	0.4238	0.4106	0.3698	0.3211	0.0338	0.0139	0.0852	0.0132	0.38	0.4561	0.038

Dependent	bank	auto	oil	tech	chem	hotel	media	retail	delvr	food	insu	travel
Panic	0.236**	0.154***	0.189***	0.110**	0.230*	0.145**	0.125**	0.0847*	0.0601**	0.0777*	0.245**	0.145***
	−3.17	−3.69	−3.9	−3.45	−2.23	−3.34	−2.93	−2.05	−3.26	−2.57	−2.89	−3.62
Media Coverage	−0.216	−0.105	−0.145	−0.0946	−0.218	−0.121	−0.111	−0.0783	−0.0452	−0.0681	−0.208	−0.12
	(−1.86)	(−1.62)	(−1.93)	(−1.90)	(−1.36)	(−1.79)	(−1.67)	(−1.22)	(−1.58)	(−1.45)	(−1.58)	(−1.93)
Sentiment Index	−0.221	−0.0164	−0.125	−0.0598	−0.152	−0.12	−0.179	−0.168	0.0368	−0.152*	−0.26	−0.121
	(−1.33)	(−0.18)	(−1.16)	(−0.84)	(−0.66)	(−1.25)	(−1.88)	(−1.83)	−0.9	(−2.27)	(−1.38)	(−1.37)
Constant	1.873**	0.735	1.246**	0.696*	1.591	1.087**	1.237**	1.032**	0.102	0.928**	2.020*	1.064**
	(2.80)	(1.96)	(2.87)	(2.43)	(1.72)	(2.78)	(3.23)	(2.79)	(0.61)	(3.43)	(2.65)	(2.97)
R${}^2$	0.3822	0.495	0.5209	0.4149	0.2114	0.4299	0.3933	0.2689	0.3719	0.3781	0.3724	0.473

*,**,*** represents significance at 10%, 5% and 1% level respectively, corresponding t statistic of coefficients is reported.