Table 1.
Descriptive Statistics.
| Variable | Obs | Mean | Std. Dev. | Min | Max |
|---|---|---|---|---|---|
| RET | 8,985 | 0.00011 | 0.023 | −0.169 | 0.185 |
| VOLAT | 8,985 | 30.613 | 20.050 | 1.596 | 114.48 |
| TVOLUME | 8,985 | 1.845 | 0.883 | 0.00012 | 19.1 |
| %CASE | 8,985 | 0.044 | 0.087 | 0 | 0.947 |
| %DEATH | 8,985 | 0.003 | 0.011 | 0 | 0.5 |
| DEV | 8,985 | 0.339 | 0.473 | 0 | 1 |
| JAN | 8,985 | 0.011 | 0.102 | 0 | 1 |
| FEB | 8,985 | 0.057 | 0.232 | 0 | 1 |
| MAR | 8,985 | 0.161 | 0.368 | 0 | 1 |
| APR | 8,985 | 0.161 | 0.368 | 0 | 1 |
| MAY | 8,985 | 0.150 | 0.358 | 0 | 1 |
| JUN | 8,985 | 0.173 | 0.378 | 0 | 1 |
| JUL | 8,985 | 0.179 | 0.384 | 0 | 1 |
| AUG | 8,985 | 0.108 | 0.310 | 0 | 1 |
RET represents a daily percentage stock return. VOLAT represents 30-days moving average volatility (in %). TVOLUME represents the daily trading volume (in billion shares). %CASE represents daily new cases divided by cumulative cases of COVID-19 (%). % DEATH represents daily new death divided by cumulative cases of COVID-19 (%). DEV is a dummy variable equals to one if countries are classified by the MSCI market classification as a Developed country or zero otherwise. JAN, FEB, MAR, APR, MAY, JUN, JUL, and AUG represent dummy variables for each month from January 14, 2020, through August 20, 2020.