Table 2.

The data.

Variables	Description and source
Stock market return (RET)	Daily returns are calculated as:$R_{i,t}=\frac{P_{i,t}}{P_{i,t-1}}-1$, where Pi,t is the value of the market index in day t for country i. Source: Thomson Reuters.
The panic Index (PI)	It measures the level of news chatter that makes reference to panic or hysteria and coronavirus. Values range between 0 and 100. The higher the index value, the more references to panic found in the media. Source: RavenPack https://coronavirus.ravenpack.com/
The Media Hype Index (HY)	It measures the percentage of news talking about the novel coronavirus. Values range between 0 and 100. Source: RavenPack https://coronavirus.ravenpack.com/
The Fake News Index (FNI)	It measures the level of media chatter about the novel virus that makes reference to misinformation or fake news alongside COVID-19. Values range between 0 and 100 where a value of 2.00 indicates that 2 percent of all news globally is talking about fake news and COVID-19. Source: RavenPack https://coronavirus.ravenpack.com/
The Country Sentiment Index (CSI)	It measures the level of sentiment across all entities mentioned in the news alongside the coronavirus. The index ranges between -100 (most negative) and 100 (most positive) sentiment while 0 is neutral. Source: RavenPack https://coronavirus.ravenpack.com/
The Contagion Index (CTI)	It calculates the percentage of all entities (places, companies, etc.) that are reported in the media alongside COVID-19. Values range between 0 and 100. Source: RavenPack https://coronavirus.ravenpack.com/
The media coverage Index (MCI)	It calculates the percentage of all news sources covering the topic of the novel coronavirus. Values range between 0 and 100. Source: RavenPack https://coronavirus.ravenpack.com/
Sovereign CDS	Credit Default Swap (CDS) rate on 5-year bonds issued by the national government. Source: Thomson Reuters.
Gold Price	Daily spot closing price of Gold. Source: Thomson Reuters.