Table 2.
COVID-19 effect on herding behaviour in European markets
| General | Panel A: France | General | Panel B: Germany | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Model | Rm,t>0 | Rm,t<0 | σHIGH> σMAt-30 | VolHIGH> VolMAt-30 | VolLOW> VolMAt-30 | Model | Rm,t>0 | Rm,t<0 | σHIGH> σMAt-30 | VolHIGH> VolMAt-30 | VolLOW> VolMAt-30 | |
| ϒ1 | 0.553*** | 0.663*** | 0.437*** | 0.528*** | 0.364*** | 0.743*** | 0.365*** | 0.472*** | 0.241*** | 0.343*** | 0.296*** | 0.468*** |
| (0.033) | (0.050) | (0.044) | (0.040) | (0.045) | (0.049) | (0.034) | (0.052) | (0.048) | (0.044) | (0.044) | (0.073) | |
| ϒ2 | 0.208*** | 0.240*** | 0.190*** | 0.178*** | 0.127*** | 0.265*** | 0.229*** | 0.261*** | 0.203*** | 0.216*** | 0.163*** | 0.157*** |
| (0.013) | (0.017) | (0.019) | (0.019) | (0.019) | (0.018) | (0.012) | (0.017) | (0.018) | (0.019) | (0.021) | (0.018) | |
| ϒ3 | -2.085*** | -2.578*** | -1.190* | -1.930*** | -0.353 | -3.778*** | -1.693*** | -2.205*** | -0.674 | -1.582*** | -1.054* | -2.943* |
| (0.517) | (0.917) | (0.642) | (0.622) | (0.662) | (0.921) | (0.486) | (0.832) | (0.624) | (0.611) | (0.574) | (1.531) | |
| ϒ4 | 1.842*** | 1.979*** | 1.338*** | 1.906*** | 2.798*** | 1.179*** | 1.311*** | 1.206*** | 1.395*** | 1.286*** | 1.899*** | 1.908*** |
| (0.268) | (0.341) | (0.428) | (0.357) | (0.356) | (0.436) | (0.229) | (0.303) | (0.348) | (0.312) | (0.347) | (0.428) | |
| α | 0.008*** | 0.008*** | 0.008*** | 0.009*** | 0.009*** | 0.007*** | 0.008*** | 0.007*** | 0.008*** | 0.008*** | 0.008*** | 0.007*** |
| (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
| Obs. | 4,940 | 2,597 | 2,343 | 2,435 | 2,262 | 2,678 | 4,736 | 2,505 | 2,231 | 2,340 | 1,491 | 2,145 |
| R-squared | 0.349 | 0.407 | 0.292 | 0.348 | 0.327 | 0.363 | 0.328 | 0.356 | 0.308 | 0.320 | 0.326 | 0.222 |
| t-stat1 | ||||||||||||
| (H0:ϒ1=ϒ2) | 239.7*** | 160.2*** | 85.07*** | 110.1*** | 47.89*** | 193.1*** | 206.4*** | 145.3*** | 69.28*** | 83.83*** | 44.53*** | 50.95*** |
| t-stat1 | ||||||||||||
| (H0:ϒ3=ϒ4) | 33.56*** | 21.88*** | 6.979*** | 20.67*** | 31.47*** | 193.1*** | 23.64*** | 12.11*** | 8.890*** | 12.79*** | 17.66*** | 12.29*** |
| General | Panel C: Italy | General | Panel D: United Kingdom | |||||||||
| Model | Rm,t>0 | Rm,t<0 | σHIGH> σMAt-30 | VolHIGH> VolMAt-30 | VolLOW> VolMAt-30 | Model | Rm,t>0 | Rm,t<0 | σHIGH> σMAt-30 | VolHIGH> VolMAt-30 | VolLOW> VolMAt-30 | |
| ϒ1 | 0.445*** | 0.577*** | 0.311*** | 0.398*** | 0.384*** | 0.490*** | 0.717*** | 0.768*** | 0.592*** | 0.679*** | 0.626*** | 0.716*** |
| (0.027) | (0.052) | (0.037) | (0.032) | (0.038) | (0.056) | (0.037) | (0.061) | (0.050) | (0.045) | (0.054) | (0.058) | |
| ϒ2 | 0.202*** | 0.252*** | 0.153*** | 0.189*** | 0.230*** | 0.163*** | 0.251*** | 0.288*** | 0.217*** | 0.211*** | 0.207*** | 0.261*** |
| (0.012) | (0.016) | (0.017) | (0.018) | (0.017) | (0.018) | (0.015) | (0.020) | (0.022) | (0.022) | (0.023) | (0.019) | |
| ϒ3 | -2.055*** | -2.638*** | -1.243*** | -1.778*** | -1.672*** | -2.128* | -4.596*** | -2.890** | -3.771*** | -4.305*** | -4.171*** | -2.583** |
| (0.260) | (0.880) | (0.312) | (0.305) | (0.316) | (1.126) | (0.603) | (1.323) | (0.727) | (0.724) | (0.783) | (1.214) | |
| ϒ4 | 1.714*** | 1.090*** | 2.370*** | 1.630*** | 1.213*** | 2.559*** | 1.787*** | 1.697*** | 1.839*** | 2.036*** | 1.744*** | 2.578*** |
| (0.202) | (0.277) | (0.293) | (0.267) | (0.256) | (0.338) | (0.320) | (0.411) | (0.504) | (0.419) | (0.467) | (0.437) | |
| α | 0.009*** | 0.009*** | 0.009*** | 0.010*** | 0.009*** | 0.009*** | 0.008*** | 0.008*** | 0.009*** | 0.009*** | 0.009*** | 0.008*** |
| (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
| Obs. | 4,679 | 2,443 | 2,236 | 2,203 | 2,156 | 2,523 | 4,837 | 2,551 | 2,286 | 2,477 | 2,203 | 2,634 |
| R-squared | 0.359 | 0.380 | 0.350 | 0.371 | 0.371 | 0.354 | 0.314 | 0.356 | 0.276 | 0.309 | 0.248 | 0.387 |
| t-stat1 | ||||||||||||
| (H0:ϒ1=ϒ2) | 245.8*** | 161.2*** | 65.14*** | 110.7*** | 131.2*** | 70.97*** | 292.5*** | 162.3*** | 103.3*** | 138.6*** | 95.53*** | 150.9*** |
| t-stat1 | ||||||||||||
| (H0:ϒ3=ϒ4) | 71.85*** | 13.06*** | 42.95*** | 39.51*** | 27.08*** | 31.38*** | 47.03*** | 11.42*** | 21.19*** | 31.87*** | 22.42*** | 20.33*** |
| General | Panel E: Spain | |||||||||||
| Model | Rm,t>0 | Rm,t<0 | σHIGH> σMAt-30 | VolHIGH> VolMAt-30 | VolLOW> VolMAt-30 | |||||||
| ϒ1 | 0.621*** | 0.716*** | 0.411*** | 0.549*** | 0.424*** | 0.764*** | ||||||
| (0.037) | (0.073) | (0.048) | (0.048) | (0.056) | (0.071) | |||||||
| ϒ2 | -0.299*** | -0.333** | -0.370*** | -0.501*** | -0.484*** | -0.362*** | ||||||
| (0.082) | (0.139) | (0.107) | (0.118) | (0.127) | (0.130) | |||||||
| ϒ3 | -3.614*** | -1.979 | -2.237*** | -3.118*** | -2.271*** | -3.344** | ||||||
| (0.384) | (1.361) | (0.442) | (0.481) | (0.512) | (1.498) | |||||||
| ϒ4 | 21.077*** | 27.398*** | 21.814*** | 24.568*** | 24.087*** | 34.437*** | ||||||
| (3.268) | (7.001) | (3.860) | (4.413) | (4.517) | (7.671) | |||||||
| α | 0.010*** | 0.010*** | 0.010*** | 0.011*** | 0.012*** | 0.009*** | ||||||
| (0.000) | (0.001) | (0.001) | (0.001) | (0.001) | (0.000) | |||||||
| Obs. | 629 | 354 | 275 | 350 | 266 | 363 | ||||||
| R-squared | 0.465 | 0.579 | 0.394 | 0.472 | 0.378 | 0.602 | ||||||
| t-stat1 | ||||||||||||
| (H0:ϒ1=ϒ2) | 201.8*** | 76.40*** | 59.31*** | 120.1*** | 57.11*** | 87.69*** | ||||||
| t-stat1 | ||||||||||||
| (H0:ϒ3=ϒ4) | 79.36*** | 10.68*** | 35.02*** | 47.25*** | 30.59*** | 15.21*** | ||||||
Standard errors in parentheses. *** p<0.01, ** p<0.05, * p<0.1