. 2020 Oct 16;41:101796. doi: 10.1016/j.frl.2020.101796

Table 3.

Connectedness, SARS experience and number of COVID-19 cases.

	Return connectedness				Volatility connectedness
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
SARS_deathi,j = 1	6.749***	4.051***			4.284***	2.716***
	(1.170)	(0.762)			(1.240)	(0.809)
SARS_deathi,j = 2	10.949***	5.509***			0.724	−0.521
	(2.770)	(1.805)			(2.936)	(1.915)
COVID_global_confirm	2.574***				2.197***
	(0.058)				(0.061)
COVID_global_death		2.239***				1.910***
		(0.049)				(0.052)
SARS_deathi,j = 1× COVID_global_confirm	−0.616***				−0.340***
	(0.091)				(0.097)
SARS_deathi,j = 2× COVID_global_confirm	−1.236***				−0.257
	(0.216)				(0.229)
SARS_deathi,j = 1× COVID_global_death		−0.536***				−0.287***
		(0.077)				(0.082)
SARS_deathi,j = 2× COVID_global_death		−1.072***				−0.211
		(0.183)				(0.195)
SARS_i			3.630***	1.632***			3.378***	2.251***
			(0.448)	(0.361)			(0.485)	(0.393)
SARS_j			6.725***	5.005***			5.786***	4.741***
			(0.426)	(0.345)			(0.461)	(0.376)
COVID_Confirm_i			1.272***				1.508***
			(0.037)				(0.040)
COVID_Confirm_j			0.607***				0.046
			(0.040)				(0.043)
COVID_Death_i				1.223***				1.300***
				(0.040)				(0.044)
COVID_Death_j				0.971***				0.448***
				(0.046)				(0.050)
SARS_i × COVID_Confirm_i			−0.740***				−0.455***
			(0.054)				(0.059)
SARS_j × COVID_Confirm_j			−1.242***				−1.007***
			(0.052)				(0.056)
SARS_i × COVID_Death_i				−0.730***				−0.458***
				(0.062)				(0.068)
SARS_j × COVID_Death_j				−1.702***				−1.483***
				(0.063)				(0.068)
Interest rate Diff	0.371***	0.377***	0.417***	0.322***	0.731***	0.736***	0.854***	0.685***
	(0.033)	(0.033)	(0.031)	(0.031)	(0.035)	(0.035)	(0.034)	(0.034)
Exchange Vol Diff	−0.279***	−0.283***	−0.208***	−0.161***	−0.270***	−0.274***	−0.149***	−0.088***
	(0.017)	(0.017)	(0.017)	(0.018)	(0.018)	(0.018)	(0.018)	(0.019)
GDP growth Diff	−0.128***	−0.133***	−0.220***	−0.124***	0.079	0.074	−0.086*	0.048
	(0.046)	(0.046)	(0.044)	(0.045)	(0.049)	(0.049)	(0.048)	(0.049)
Constant	−12.141***	−0.870*	8.215***	12.169***	−6.641***	2.981***	11.263***	14.661***
	(0.741)	(0.483)	(0.219)	(0.183)	(0.786)	(0.512)	(0.237)	(0.199)
Observations	11,696	11,696	11,696	11,696	11,696	11,696	11,696	11,696
Adjusted R-squared	0.206	0.213	0.322	0.290	0.179	0.185	0.271	0.226

Columns 1–2 and columns 5–6 present the panel regression results of return and volatility connectedness, along with other control variables by estimating Eq. (2). Column2 3–4 and columns 7–8 illustrate he OLS regression results by estimating Eq. (3). The dependent variable is Return connectedness for columns 1–4. The dependent variable for columns 5- 8 is Volatility connectedness. 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. COVID_global_confirm is the natural logarithm of one plus the number of accumulative global confirmed cases in COVID-19 on each day. COVID_global_death is the natural logarithm of one plus the number of accumulative global death cases in COVID-19 on each day. where SARS_i and SARS_j are dummy variables equal one if country i or country j experience SARS death cases and zero otherwise. $C O V I D_C o n f i r m_{i}$ ( $C O V I D_D e a t h_{i}$ ) and $C O V I D_C o n f i r m_{j}$ ( $C O V I D_D e a t h_{j})$ are natural logarithm of the number of one plus accumulative confirmed (death) COVID-19 cases from country iand country j on each day respectively. 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.