Table 3.
Correlations matrix. This table reports the pairwise Pearson correlations between main variables. Stock market returns is measured as the daily change in major stock index of a country. Growth in confirmed cases is measured as the daily growth in COVID-19 confirmed cases in a country. Growth in deaths is measured as the daily growth in the number of COVID-19 patients died. Democratic accountability is taken from International Country Risk Guide database and represents the quality of political institutions. Uncertainty avoidance index is taken from Hofstede et al. (2010) and controls for cross-country differences in the level of uncertainty aversion in investors. Investment freedom is taken from Freedom House website and controls for stock market liberalization. Log (GDP) is taken for World Development Indicators (WDI) of World Bank and controls for the level of economic development.
| Variables | (1) | (2) | (3) | (4) | (5) | (6) | (7) | |
|---|---|---|---|---|---|---|---|---|
| (1) | Stock market returns | 1.00 | ||||||
| (2) | Growth in confirmed cases | −0.15* | 1.00 | |||||
| (3) | Growth in deaths | −0.05* | 0.32* | 1.00 | ||||
| (4) | Democratic accountability | −0.01 | 0.09* | 0.07* | 1.00 | |||
| (5) | Uncertainty avoidance | −0.02 | 0.05* | 0.04 | 0.16* | 1.00 | ||
| (6) | Investment freedom | −0.01 | 0.07* | 0.08* | 0.68* | 0.01 | 1.00 | |
| (7) | Log (GDP) | 0.01 | −0.04* | 0.06* | 0.07* | −0.04* | −0.01 | 1.00 |
*Indicates significance level at 10% level.