Table 2.
Connectedness, SARS experience and development of COVID-19.
| Return connectedness |
Volatility connectedness |
|||
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| COVID_stage= 2 | 2.643*** | 3.457*** | ||
| (0.527) | (0.562) | |||
| COVID_stage= 3 | 15.624*** | 14.339*** | ||
| (0.507) | (0.541) | |||
| SARS_deathi,j = 1 | −0.987*** | 1.672** | 0.031 | 2.710*** |
| (0.234) | (0.759) | (0.241) | (0.810) | |
| SARS_deathi,j = 2 | −4.512*** | 0.659 | −2.414*** | 0.403 |
| (0.560) | (1.798) | (0.577) | (1.919) | |
| COVID_stage= 2× SARS_deathi,j = 1 | −0.817 | −2.145** | ||
| (0.833) | (0.889) | |||
| COVID_stage= 2× SARS_deathi,j = 2 | −1.869 | −2.657 | ||
| (1.971) | (2.104) | |||
| COVID_stage= 3× SARS_deathi,j = 1 | −4.069*** | −3.343*** | ||
| (0.802) | (0.855) | |||
| COVID_stage= 3× SARS_deathi,j = 2 | −7.838*** | −3.403* | ||
| (1.897) | (2.024) | |||
| Interest rate Diff | 0.227*** | 0.370*** | 0.606*** | 0.732*** |
| (0.037) | (0.032) | (0.038) | (0.034) | |
| Exchange Vol Diff | −0.189*** | −0.277*** | −0.191*** | −0.270*** |
| (0.019) | (0.017) | (0.020) | (0.018) | |
| GDP growth Diff | 0.000 | −0.126*** | 0.191*** | 0.079* |
| (0.051) | (0.045) | (0.053) | (0.048) | |
| Constant | 20.130*** | 10.133*** | 20.897*** | 11.369*** |
| (0.154) | (0.481) | (0.159) | (0.513) | |
| Observations | 11,696 | 11,696 | 11,696 | 11,696 |
| Adjusted R-squared | 0.018 | 0.258 | 0.041 | 0.223 |
This table presents the panel regression results of return and volatility connectedness, along with other control variables by estimating baseline Eq. (1). The dependent variable is Return connectedness for columns 1–2. The dependent variable for columns 3- 4 is Volatility connectedness. COVID_stage=2 is a dummy variable if the date is between 30th January to 10th March 2020, and zero otherwise. COVID_stage=3 is a dummy variable if the date is after 10th March 2020, and zero otherwise. SARS_deathi,j = 1 is a dummy variable if one of a pair of countries experienced death cases in SARS, and zero otherwise. SARS_deathi,j = 2 is a dummy variable if both of a pair of countries experienced death cases in SARS, and zero otherwise. Interest rate Diff is the difference of daily rate of 1-month T-bills between a pair of countries. and. Exchange Vol Diff is the difference of exchange rate fluctuation over the previous 21 trading days. GDP growth Diff is the difference in the GDP growth rate between two countries in each pair. ***, ** and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively. Robust standard errors cluster by countries are reported in the parentheses.