Table 3.

Effect of stimulus packages on stock returns.

This table reports the results for testing the effect of stimulus packages on stock returns. The regression model has the following form:

$Retur{n}_t=\alpha +\sum _{i=1}^5{\beta }_{i}PACKAG{E}_{t-i}+{\beta }_{5}OI{L}_{t-1}+{\beta }_{6}Retur{n}_{t-1}+{\beta }_{7}VO{L}_{t-1}+{\beta }_{8}MO{N}_t+{\beta }_{9}TU{E}_t+{\beta }_{10}TH{U}_t+{\beta }_{11}FR{I}_t+{\epsilon }_t$ where Return_t is country stock index return; PACKAGE_t is the dummy variable that equals 1 from the day the stimulus package was announced and zero otherwise; OIL_t is the WTI crude oil price return; VOL_t is the stock return volatility; MON_t, TUE_t, THU_t, and FRI_t are dummy variables that control for day-of-week effect. The p-values are generated after correcting for Newey and West (1987) standard errors that are robust to heteroskedasticity and autocorrelation of up to 12 lags. We report the sum of the lagged coefficients and the p-value of the Wald test examining the null hypothesis of $\sum _{i=1}^5{\beta }_i=0$. Finally, ** *, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively.

	Canada	France	Germany	Italy	Japan	UK	US
PACKAGEt − 1	4.314***	-4.309***	0.717	-18.948***	-2.975***	-2.386**	-7.515***
	(0.003)	(0.007)	(0.137)	(0.000)	(0.000)	(0.014)	(0.000)
PACKAGEt − 2	-2.613	8.651***	0.805*	29.366***	-1.110*	5.178***	9.503***
	(0.246)	(0.000)	(0.064)	(0.000)	(0.058)	(0.000)	(0.000)
PACKAGEt − 3	-6.135***	2.655***	-2.784***	-18.109***	6.247***	0.849	-3.273
	(0.000)	(0.006)	(0.000)	(0.000)	(0.000)	(0.177)	(0.155)
PACKAGEt − 4	15.043***	-9.229***	-2.127***	10.309***	-4.565***	-6.547***	-9.849***
	(0.000)	(0.000)	(0.000)	(0.000)	(0.003)	(0.000)	(0.000)
PACKAGEt − 5	-8.726***	3.500***	3.579***	-2.277	2.709*	4.546***	13.202***
	(0.000)	(0.005)	(0.001)	(0.156)	(0.072)	(0.000)	(0.000)
OILt − 1	0.027	0.037	0.031	0.016	0.033	0.023	0.025
	(0.465)	(0.284)	(0.365)	(0.683)	(0.141)	(0.447)	(0.217)
Returnt − 1	-0.279	0.004	0.006	0.163*	0.160	0.010	-0.483***
	(0.164)	(0.976)	(0.941)	(0.065)	(0.276)	(0.927)	(0.001)
VOLt − 1	-0.036***	-0.036	-0.022	0.005	-0.027	-0.058**	-0.045***
	(0.000)	(0.219)	(0.562)	(0.706)	(0.909)	(0.024)	(0.009)
MONt	-0.336	-0.392	-0.152	-0.260	-0.221	-0.105	-0.371
	(0.401)	(0.350)	(0.712)	(0.562)	(0.439)	(0.769)	(0.455)
TUEt	0.136	0.438	0.674*	0.545	0.434	0.467*	0.025
	(0.590)	(0.125)	(0.088)	(0.121)	(0.151)	(0.088)	(0.934)
THUt	-0.222	-0.163	0.052	0.446	-0.243	-0.205	0.192
	(0.578)	(0.715)	(0.904)	(0.184)	(0.551)	(0.591)	(0.533)
FRIt	-0.171	-0.120	0.271	-0.304	0.157	-0.001	-0.229
	(0.579)	(0.721)	(0.419)	(0.350)	(0.555)	(0.996)	(0.532)
Constant	0.034	-0.034	-0.171	-0.188	0.002	-0.106	0.135
	(0.853)	(0.880)	(0.488)	(0.420)	(0.996)	(0.586)	(0.607)
${\overline{R}}^2$	0.334	0.121	-0.003	0.455	0.090	0.105	0.420
Wald test	1.884**	1.268	0.190	0.341	0.306	1.640*	2.069**
	(0.016)	(0.167)	(0.877)	(0.576)	(0.905)	(0.099)	(0.034)