Table 5.
Stock market return volatility and culture (with other possible explanations).
| Culture coefficient | t-stat | Characteristics | Coefficient | t-stat | Controls | Adj-R2 | Obs. | |
|---|---|---|---|---|---|---|---|---|
| Panel A: IDV | ||||||||
| −0.0002⁎⁎ | (−2.30) | STRINGENCY | 0.0002 | (0.95) | YES | 53.1 | 62 | |
| −0.0002⁎⁎ | (−2.08) | DEMO | −0.0005 | (−0.68) | YES | 52.0 | 62 | |
| −0.0002⁎ | (−1.88) | CORRUPT | 0.0112 | (1.03) | YES | 52.5 | 62 | |
| −0.0003⁎⁎ | (−2.38) | SARS | 0.0020 | (0.58) | YES | 52.0 | 63 | |
| −0.0003⁎⁎ | (−2.41) | OPEN | 0.0000 | (−0.24) | YES | 51.3 | 62 | |
| −0.0002⁎⁎ | (−2.21) | FOREIGN | −0.0027 | (−0.20) | YES | 57.6 | 51 | |
| −0.0002⁎⁎ | (−2.00) | SERVICE | −0.0001 | (−0.56) | YES | 52.1 | 63 | |
| −0.0003⁎⁎ | (−2.33) | DEATH | 0.0029 | (0.33) | YES | 52.0 | 63 | |
| −0.0003⁎⁎ | (−2.37) | OUTBREAK | 0.0006 | (0.13) | YES | 51.9 | 63 | |
| Panel B: UAI | ||||||||
| 0.0002⁎⁎ | (2.05) | STRINGENCY | 0.0002 | (1.12) | YES | 51.4 | 62 | |
| 0.0002⁎⁎ | (2.52) | DEMO | −0.0010 | (−1.48) | YES | 51.6 | 62 | |
| 0.0001⁎ | (1.86) | CORRUPT | 0.0148 | (1.44) | YES | 51.3 | 62 | |
| 0.0002⁎⁎⁎ | (2.56) | SARS | 0.0068⁎ | (1.80) | YES | 50.4 | 63 | |
| 0.0002⁎⁎ | (2.39) | OPEN | 0.0000 | (0.86) | YES | 48.7 | 62 | |
| 0.0001⁎ | (1.70) | FOREIGN | −0.0077 | (−0.49) | YES | 56.1 | 51 | |
| 0.0002⁎⁎ | (2.16) | SERVICE | −0.0003 | (−1.35) | YES | 50.7 | 63 | |
| 0.0002⁎⁎ | (2.17) | DEATH | 0.0031 | (0.38) | YES | 49.6 | 63 | |
| 0.0002⁎⁎ | (2.19) | OUTBREAK | −0.0004 | (−0.10) | YES | 49.4 | 63 | |
This table reports the results for the multivariate regressions of AVOLA over the [−2, ＋5] day event window on IDV (Panel A) or UAI (Panel B) as a culture proxy. STRINGENCY is the change in Stringency Index within the event window. DEMO is the level of democracy. CORRUPT is the political corruption index. SARS is the indicator variable for countries with SARS deaths in 2003. OPEN is the ratio of a country’s foreign trade over its GDP. FOREIGN is the percentage of foreign ownerships in 2017. SERVICE is the value of the Services sector as a proportion of a country’s total GDP. DEATH is an indicator variable which equals one when there is at least one death in a country within the event window and zero otherwise. OUTBREAK is an indicator variable which equals one after the WHO COVID-19 outbreak declaration on January 30, 2020. Other controls include GDDPC, DENS, CCASE, VIX, and GDPGRW. The White-corrected t-statistics are in parentheses.
Statistical significance at the 1%.
Statistical significance at the 5%.
Statistical significance at the 10%.