Table 5.
Impact of COVID-19 on stock market returns: robustness tests. This table reports the results of robustness tests regarding the impact of COVID-19 on stock market returns after including country fixed-effect dummy variables in main model. 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. The results are estimated with pooled OLS estimator using heteroskedasticity robust standard errors. P-values are given in parenthesis.
| Variables | Stock market returns |
|
|---|---|---|
| (1) | (2) | |
| Growth in confirmed cases | −0.003** | |
| (0.041) | ||
| Growth in deaths | −0.001 | |
| (0.579) | ||
| Country fixed-effects dummy variables | Yes | Yes |
| Daily fixed-effects dummy variables | Yes | Yes |
| Constant | −0.001 | −0.075*** |
| (0.925) | (0.002) | |
| Observations | 2424 | 1390 |
| R-squared | 0.528 | 0.520 |
***,**,*Represent statistical significance at 1%, 5%, and 10% levels, respectively.