. 2021 Jan 12;74:101663. doi: 10.1016/j.irfa.2021.101663

Table 8.

Two stage least squares regressions: Stringency Index and short-selling restrictions on herding behaviour.

	First stage	Second Stage
	(1)	(2)	(3)
	$I N D E X$	$C S S D$	$C S A D$
$\| R_{m} \|$	0.8406***	0.4241***	0.5349***
	(0.21033)	(0.0319)	(0.0411)
$R_{m}^{2}$	0.01709	−0.0446***	−0.0527***
	(0.031531)	(0.0047)	(0.0061)
$\hat{I N D E X}$		0.0127***	0.0169***
		(0.0007)	(0.0008)
$E S M A N$	−0.3793	−0.0435	−0.0673
	(0.4304)	(0.0565)	(0.0725)
$E S M A B$	0.5183	0.8679***	1.1662***
	(0.8837)	(0.1066)	(0.1368)
$I N D E X_{t - 1}$	0.9809***
	(0.00446)
$C A S E S$	0.00000288
	(0.00002)
$D E A T H S$	−0.0000775
	(0 .000417)
$V I X$	−4.4386***	−0.9162***	−1.2466***
	(0.91017)	(0.1373)	(0.1770)
$C O N S T A N T$	0.55317***	0.5658***	0.7421***
	(0.12718)	(0.0191)	(0.0247)
$R E G I O N$	YES	YES	YES
Obs	2669	2669	2669
Sargan test ( $χ^{2}$ )		0.7191	1.3008
$R^{2}$ Adjusted	0.9708	0.3729	0.3849

Notes: Table 8 reports the coefficient estimates of the first-stage (Eq. (5)) in Column 1 and second-stage regressions (Eq. (6)) in Columns 2 and 3. $C S S D$ is computed by means of Eq. (1), and $C S A D$ is computed by means of Eq. (2). $| R_{m} |$ is the market return in absolute value, and $R_{m}^{2}$ is the squared market return. $I N D E X$ denotes the Oxford Government Response Stringency Index, and $\hat{I N D E X}$ is the estimated $I N D E X$ from Eq. (5). $E S M A N$ and $E S M A B$ are the dummy variables corresponding to short-selling notification and short-selling ban, respectively. $I N D E X_{t - 1}$ denotes the lagged value of the Stringency Index variable. $C A S E S$ denotes the confirmed number of cases, and $D E A T H S$ denotes the confirmed number of deaths. $V I X$ represents the uncertainty of the sophisticated derivatives’ market participants regarding the short-term expected market volatility. $C O N S T A N T$ is the regression constant term. $R E G I O N$ is the dummy variable that takes on value one if the country is located in a given region (Europe, America, Asia-Pacific, Africa), and takes on value 0 otherwise. Robust standard errors are reported in parentheses. Asterisks ***,**,* denote the 1%, 5%, 10% significance levels, respectively. Insignificant Sargan test indicates that the over-identified restrictions are valid.