. 2020 Jul 25;38:101701. doi: 10.1016/j.frl.2020.101701

Table 3.

Volatility regressions.

	LNVOLT	LNVOLT	LNVOLT	LNVOLT	LNVOLT	LNVOLT	LNGVOL	LNGVOL	LNGVOL	LNGVOL	LNGVOL	LNGVOL
	[1]	[2]	[3]	[4]	[5]	[6]	[7]	[8]	[9]	[10]	[11]	[12]
LNCASES	0.085***						0.206***
	(62.458)						(75.847)
LNDEATHS		0.083***						0.217***
		(52.979)						(67.143)
LNUSDWT			−0.707***						−1.906***
			(−52.410)						(−67.884)
LNGSENT				0.645***						1.157***
				(66.950)						(60.436)
LNGTREND					0.347***						0.765***
					(84.572)						(96.363)
LNSTRINGENCY						0.252***						0.604***
						(71.243)						(86.121)
SIZE	−0.000**	−0.000**	−0.000**	−0.000**	−0.000**	−0.000**	−0.000**	−0.000**	−0.000**	−0.000*	−0.000*	−0.000**
	(−2.397)	(−2.405)	(−2.371)	(−2.147)	(−2.232)	(−2.265)	(−2.278)	(−2.329)	(−2.288)	(−1.761)	(−1.919)	(−2.100)
PRICE	0.000***	0.000***	0.001***	0.000***	0.000**	0.000***	0.001***	0.001***	0.001***	0.001***	0.000	0.000***
	(4.245)	(4.694)	(5.096)	(3.992)	(2.269)	(3.701)	(3.760)	(4.308)	(5.124)	(3.418)	(1.198)	(2.974)
VOLUME	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***	0.000***
	(9.654)	(9.917)	(10.047)	(9.982)	(8.661)	(9.707)	(10.760)	(10.938)	(11.072)	(11.002)	(9.210)	(10.967)
S&P	−1.694***	−1.785***	−1.940***	−0.555***	−0.658***	−1.245***	−3.597***	−4.094***	−4.591***	−0.788***	−0.996***	−2.466***
	(−26.672)	(−25.558)	(−26.651)	(−8.091)	(−12.385)	(−20.280)	(−30.279)	(−31.510)	(−34.128)	(−5.572)	(−9.498)	(−21.163)
ILLIQUIDITY	95.381***	108.844***	116.009***	121.194***	71.285***	94.697***	106.448***	131.013***	147.071***	183.460***	64.148***	105.563***
	(27.529)	(28.535)	(30.036)	(30.555)	(25.853)	(28.732)	(20.790)	(22.873)	(25.405)	(27.325)	(15.890)	(22.225)
SPREAD	152.336***	209.860***	204.233***	279.026***	104.721***	162.371***	264.198***	367.778***	342.231***	626.706***	209.177***	294.290***
	(15.534)	(20.275)	(19.352)	(27.677)	(12.671)	(17.583)	(13.087)	(17.193)	(16.234)	(26.542)	(11.398)	(15.176)
CONSTANT	−4.245***	−4.066***	0.044	−6.313***	−4.614***	−4.395***	−7.922***	−7.507***	3.570***	−11.456***	−8.674***	−8.279***
	(−240.404)	(−214.371)	(0.528)	(−184.739)	(−274.352)	(−257.576)	(−275.812)	(−243.362)	(21.157)	(−169.476)	(−305.829)	(−288.963)
ROBUST SE	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES
INDUSTRY FE	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES
OBSERVATIONS	29,454	29,454	29,454	29,454	29,454	29,454	29,321	29,321	29,321	29,321	29,321	29,321
R-SQUARED	0.544	0.479	0.458	0.468	0.673	0.561	0.539	0.482	0.457	0.352	0.644	0.558

This table provides the results from the estimation of the following OLS regression specification.

$L N {(V O L A T I L I T Y M E A S U R E)}_{i, t} = β_{0} + β_{1} L N {(P A N D E M I C I N D E X)}_{i, t} + β_{2} S I Z E_{i, t} + β_{3} P R I C E_{i, t} + β_{4} V O L U M E_{i, t} + β_{5} S & P_{i, t} + β_{6} I L L I Q U I D I T Y_{i, t} + β_{7} S P R E A D_{i, t} + ε_{i, t}$

Dependent variable LN(VOLATILITY MEASURE) is the natural log of the range volatility measure in columns [1] to [6] while it is the natural log of GARCH (1,1) volatility measure in columns [7] to [12]. The independent variable LN(PANDEMIC INDEX) represents the is natural log of the COVID-19 pandemic related index. These indexes include the following. LNCASES represents the natural log of coronavirus cases. LNDEATHS represent the natural log of coronavirus related deaths. LNUSDWT is the natural log of sum of US driving, walking and transit mobility trends indexes of Apple Inc. LNSTRINGENCY is the natural log of the stringency index obtained from Oxford COVID-19 Government Response Tracker (OxCGRT). LNGSENT is the natural log of the absolute value of coronavirus worldwide sentiment index of RavenPack. LNGTREND is the natural log of google trends index based on the search for the word “coronavirus deaths” in the US. We add one to the number of cases, number of deaths, stringency and google trends indexes and then take the natural log to avoid excluding zero values. For the definitions of control variables please refer to Table 1. All specifications include industry fixed effects based on Fama-French 48 Industry classifications. Robust standard errors are clustered at the firm level. T-stats are in parentheses below the coefficient estimates. *, **, *** denote statistical significance at the 0.1, 0.05, and the 0.01 levels, respectively.