Table 6.
Regressions of the daily changes in total risk for the respective industry stock returns on the changes in VIX and FTR, percent of deaths, and percent of recoveries.
| Industry | γ0 | γ1 | γ2 | γ3 | γ4 | Adj. R2 |
|---|---|---|---|---|---|---|
| Panel A: Top 7 industries | ||||||
| Petroleum and Natural Gas | 0.049 (1.39) |
0.006 (1.26) |
0.049 (0.23) |
18.831⁎⁎⁎ (3.08) |
−4.711* (−1.74) |
0.10 |
| Coal | 0.044* (2.17) |
−0.005* (−1.97) |
−0.048 (−0.39) |
8.285⁎⁎ (2.34) |
−3.68* (−1.68) |
0.10 |
| Metal and Mining | 0.018 (1.56) |
0.006⁎⁎⁎ (4.04) |
0.147⁎⁎ (2.17) |
7.364⁎⁎⁎ (3.79) |
−1.795* (−1.69) |
0.24 |
| Restaurants, Hotels, & Lodgings | 0.040⁎⁎ (2.31) |
0.006⁎⁎ (2.53) |
−0.364⁎⁎⁎ (−3.50) |
7.316⁎⁎ (2.46) |
−3.458* (−1.86) |
0.36 |
| Aircraft, Ships, and Railroad Equipment | 0.027⁎⁎ (2.22) |
0.006⁎⁎⁎ (3.82) |
−0.102* (−1.41) |
6.958⁎⁎⁎ (3.36) |
−2.368* (−1.84) |
0.34 |
| Recreation (Games and Entertainments) | 0.026⁎⁎ (2.02) |
0.007⁎⁎⁎ (4.15) |
−0.200⁎⁎ (−2.59) |
6.723⁎⁎⁎ (3.04) |
−3.013⁎⁎ (−2.19) |
0.42 |
| Construction & Construction Materials | 0.026⁎⁎ (2.22) |
0.006⁎⁎⁎ (4.08) |
−0.140⁎⁎ (−2.00) |
6.671⁎⁎ (3.31) |
−2.476* (−1.98) |
0.39 |
| Panel B: Bottom 7 industries | ||||||
| Consumer Goods | 0.017⁎⁎ (2.32) |
0.004⁎⁎⁎ (4.64) |
−0.081* (−1.87) |
4.484⁎⁎⁎ (3.61) |
−1.687⁎⁎ (−2.19) |
0.43 |
| Tele-com & Broadcasting | 0.017⁎⁎ (2.29) |
0.004⁎⁎⁎ (3.76) |
−0.090⁎⁎ (−2.02) |
4.480⁎⁎⁎ (3.49) |
−1.897⁎⁎ (−2.38) |
0.38 |
| Health Care, Medical, Pharmaceutical Products | 0.012* (1.89) |
0.004⁎⁎⁎ (4.76) |
−0.104⁎⁎⁎ (−2.67) |
4.022⁎⁎⁎ (3.58) |
−1.530⁎⁎ (−2.19) |
0.47 |
| Business Equipment | 0.013* (1.87) |
0.004⁎⁎⁎ (4.24) |
−0.079* (−1.91) |
3.953⁎⁎⁎ (3.34) |
−1.550⁎⁎ (−2.11) |
0.39 |
| Tobacco | 0.013 (1.33) |
0.002* (1.81) |
−0.127⁎⁎ (−2.19) |
3.813⁎⁎ (2.28) |
−1.739* (−1.67) |
0.21 |
| Beer & Liquor | 0.010⁎⁎ (1.84) |
0.002⁎⁎⁎ (3.15) |
−0.007 (−0.23) |
3.044⁎⁎⁎ (3.11) |
−1.182* (−1.95) |
0.22 |
| Food Production | 0.009⁎⁎⁎ (1.86) |
0.002⁎⁎⁎ (2.87) |
−0.046 (−1.64) |
2.813⁎⁎⁎ (3.49) |
−0.997⁎⁎ (−1.99) |
0.30 |
This table summarizes the results of the following regression model for featured industries among 30 industries over the sample period from Jan. 02, 2020 to Apr. 30, 2020. In the model, Δ Riski,t represents change in total risk for industry i.
Model: Δ Riski,t = γ0 + γ1ΔVIXt + γ2ΔFTRt + γ3pDeaths + γ4pRecoveries + εi,t
*** p<0.01, ** p<0.05, * p<0.10.