Table 2.

Total Risks for the pre-COVID-19 and COVID-19 regime periods.

Industry	${\overline{\sigma }}_C^2$	${\overline{\sigma }}_{PC}^2$	${\overline{\sigma }}_{\mathrm{C}}^2-{\overline{\sigma }}_{\text{PC}}^2$	t-statistics
Panel A: Top 7 industries
Petroleum and Natural Gas	6.04	2.12	3.92	12.47⁎⁎⁎
Restaurants, Hotels, & Lodgings	3.17	0.75	2.42	10.42⁎⁎⁎
Coal	6.48	4.10	2.39	11.98⁎⁎⁎
Recreation (Games and Entertainments)	4.51	2.70	1.81	10.71⁎⁎⁎
Apparel	3.49	1.72	1.77	10.00⁎⁎⁎
Construction & Construction Materials	3.13	1.37	1.75	10.48⁎⁎⁎
Aircraft, Ships, and Railroad Equipment	3.40	1.70	1.70	10.25⁎⁎⁎
Panel B: Bottom 7 industries
Tele-com & Broadcasting	1.96	0.82	1.14	10.68⁎⁎⁎
Tobacco	3.10	2.02	1.09	11.29⁎⁎⁎
Personal and Business Services	2.62	1.61	1.01	10.74⁎⁎⁎
Health Care, Medical, Pharmaceutical Products	2.00	1.02	0.97	10.84⁎⁎⁎
Business Equipment	2.73	1.78	0.95	10.62⁎⁎⁎
Beer & Liquor	1.53	0.82	0.71	11.03⁎⁎⁎
Food Production	1.37	0.67	0.70	11.28⁎⁎⁎
SP500 Index	1.91	0.87	1.04	11.46⁎⁎⁎

This table reports means of total risks for pre-covid-19 sample period and COVID-19 sample period, and mean differences in total risks between two sample periods. Panel (a) shows top 7 industries among 30 industries, which have higher mean differences between two sample periods. Panel (b) shows bottom 7 industries have lower mean differences between two sample periods.

*** p<0.01, ** p<0.05, * p<0.10.