Table 5.

The Correlation and VECM equation parameters for the cointegrated indices against the COVID-19. Confidence levels: 90%(*), 95%(**) and 99% (***).

TS	Correlation	Cointegration – parameters
		$\alpha$	${\beta }_0$	${\beta }_1$	${\beta }_2$	${\gamma }_1$	${\gamma }_2$	${\gamma }_3$	${\gamma }_4$	${\gamma }_5$	${\gamma }_6$	${\gamma }_7$	${\gamma }_8$
Dow Jones	$-$0.595	$-$0.0008	617,819.58	1.00	$-$20.14	$-$0.12	0.085	0.06	0.198	$-$0.06	$-$0.09	0.10	$-$0.28*
COVID-19		NA	NA	NA	NA	−0.036	0.024	$-$0.0103	0.023	$-$0.0001	0.018	$-$0.01	0.008
S&P 500	$-$0.589	$-$0.00011	706,188.43	1.00	$-$204.52	$-$0.18	0.06	0.11	0.21	$-$0.06	$-$0.11	0.08	$-0.{25}^{(*)}$
COVID-19		NA	NA	NA	NA	$-$0.004	0.002	$-$0.0011	0.003	0.0001	0.002	$-$0.001	0.001
Euro Stoxx	$-$0.585	0.00002	224,483.82	1.00	$-$52.02	0.04	0.05	0.20	$0.{231}^{(*)}$	$-$0.03	0.07	0.09	$-0.{40}^{(***)}$
COVID-19		NA	NA	NA	NA	$-$0.003	0.002	0.001	$-$0.0001	0.0001	0.004	$-$0.004	0.0001
DAX	$-$0.570	0.0002	246,991.05	1.00	$-$16.13	0.048	0.042	0.17	$0.{25}^{(*)}$	$-$0.052	0.05	0.11	$-0.{42}^{(***)}$
COVID-19		NA	NA	NA	NA	$-$0.01	0.007	0.006	$-$0.001	0.001	0.012	$-$0.02	$-$0.001
CAC	$-$0.606	0.0001	198,371.35	1.00	$-$28.50	0.05	0.031	0.18	0.22	0.01	0.08	0.07	$-$0.44
COVID-19		NA	NA	NA	NA	$-$0.004	0.004	0.001	$-$0.001	$-$0.001	0.01	$-$0.005	$-$0.001
Nikkei	−0.564	0.001	38,264.99	1.00	$-$0.59	0.09	0.08	0.16	0.06	$-$0.22	$-$0.08	$-$0.06	$-$0.13
COVID-19		NA	NA	NA	NA	$-$0.002	0.02	$-$0.01	0.01	$-$0.02	0.004	$-$0.01	$-$0.003
HSI	$-$0.624	0.001	377,273.31	1.00	$-$12.87	$-$0.13	$-$0.13	0.15	0.10	0.16	$-$0.13	0.08	$-0.{40}^{(***)}$
COVID-19		NA	NA	NA	NA	0.001	0.013	$-$0.011	$-$0.002	$-$0.01	0.01	0.02	$-$0.02
Kospi	$-$0.585	0.0001	423,829.28	1.00	$-$180.14	$-$0.02	$-$0.04	0.03	$0.{24}^{(*)}$	$-$0.04	$-$0.08	0.012	$-0.{31}^{(**)}$
COVID-19		NA	NA	NA	NA	0.001	0.001	$-$0.001	0.00002	$-$0.0004	$-$0.002	0.003	$-0.{004}^{(*)}$
S&P ASX	$-$0.662	$-$0.00002	908,318.97	1.00	$-$124.61	$-0.{29}^{(**)}$	$-$0.05	0.08	$0.{31}^{(**)}$	0.17	0.05	$0.{26}^{(*)}$	0.02
COVID-19		NA	NA	NA	NA	$-$0.004	0.003	$-$0.002	0.004	0.004	0.001	0.004	$-$0.011
Nifty	$-$0.750	0.0002	622,579.63	1.00	$-$48.61	0.044	$-$0.05	$-$0.12	0.09	0.05	0.03	$0.{36}^{(**)}$	$-0.{38}^{(**)}$
COVID-19		NA	NA	NA	NA	$-$0.01	0.005	0.003	$-$0.01	$-$0.00001	0.005	0.002	0.003
Ibov	$-$0.679	0.002	433,988.59	1.00	$-$3.34	$-$0.16	$-$0.05	0.09	0.09	$-$0.004	0.06	0.16	$-$0.14
COVID-19		NA	NA	NA	NA	$-$0.13	0.12	$-$0.03	0.08	$-$0.06	0.14	$-$0.09	$-$0.04