Table 3.

Stock market return volatility and culture.

	Panel A: AVOLA${}_{[-2,+5]}$		Panel B: AVOLA${}_{[-2,+15]}$
	IDV	UAI	IDV	UAI
CULTURE	−0.0003⁎⁎	0.0002⁎⁎	−0.0003⁎⁎	0.0002⁎⁎
	(−2.40)	(2.21)	(−2.31)	(2.45)
GDDPC	−0.0004	−0.0029	0.0003	−0.0024
	(−0.20)	(−1.49)	(0.13)	(−1.15)
DENS	−0.0016	−0.0002	−0.0021⁎	−0.0005
	(−1.48)	(−0.19)	(−1.67)	(−0.43)
CCASE	0.0017⁎⁎	0.0006	0.0036⁎⁎⁎	0.0023⁎
	(2.17)	(0.75)	(3.00)	(1.89)
VIX	0.0008⁎⁎⁎	0.0009⁎⁎⁎	0.0006⁎⁎⁎	0.0008⁎⁎⁎
	(3.95)	(4.75)	(2.57)	(3.14)
GDPGRW	−0.0021	−0.0018	−0.0018	−0.0014
	(−1.54)	(−1.26)	(−1.26)	(−0.92)
Constant	0.0178	0.0192	0.0064	0.0066
	(0.76)	(0.75)	(0.26)	(0.23)
Adj-R${}^2$(%)	52.73	50.30	53.08	51.33
Obs.	63	63	63	63

This table reports the multivariate regression results of the abnormal return volatility (AVOLA). Panels A and B report the results for the event window of [−2, ＋5] and [−2, ＋15] days, respectively. CULTURE is either the individualism (IDV), or uncertainty avoidance (UAI). GDDPC is a country’s gross domestic product per capita in log. DENS is the number of people per square kilometer of land in log. CCASE is the global cumulative infected cases on a country’s first infected case date in log. VIX is the CBOE market volatility index on a country’s first infected case date, and GDPGRW is the 2018 GDP growth. The White-corrected t-statistics are in parentheses.

^***Statistical significance at the 1%.

^**Statistical significance at the 5%.

^*Statistical significance at the 10%.