Table 4.
Impact of COVID-19 on stock market returns. This table reports the results of panel pooled ordinary least squares regression results regarding the impact of COVID-19 on stock market returns. Stock market returns is dependent variable in all models and 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. The heteroskedasticity robust standard errors are used in estimations. P-values are given in parenthesis.
| Variables | Stock market returns |
|||||
|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Growth in confirmed cases | −0.013*** | −0.013*** | −0.003** | |||
| (0.000) | (0.000) | (0.032) | ||||
| Growth in deaths | −0.005* | −0.005* | −0.001 | |||
| (0.060) | (0.074) | (0.526) | ||||
| Democratic accountability | 0.000 | 0.000 | −0.000 | −0.000 | ||
| (0.922) | (0.834) | (0.673) | (0.944) | |||
| Uncertainty avoidance | −0.000 | −0.000 | 0.000 | 0.000 | ||
| (0.576) | (0.639) | (0.806) | (0.917) | |||
| Investment freedom | 0.000 | −0.000 | 0.000 | 0.000 | ||
| (0.936) | (0.596) | (0.671) | (0.747) | |||
| Log (GDP) | 0.000 | 0.000 | −0.001* | 0.001 | ||
| (0.957) | (0.367) | (0.099) | (0.225) | |||
| (0.879) | (0.002) | |||||
| Daily fixed-effects dummy variables | Yes | Yes | ||||
| (0.047) | (0.000) | |||||
| Constant | −0.001* | −0.001 | −0.010 | 0.002** | 0.027 | −0.093*** |
| (0.062) | (0.899) | (0.540) | (0.032) | (0.103) | (0.001) | |
| Observations | 2424 | 2424 | 2424 | 1390 | 1390 | 1390 |
| R-squared | 0.022 | 0.022 | 0.522 | 0.003 | 0.005 | 0.511 |
***,**,*Represent statistical significance at 1%, 5%, and 10% levels, respectively.