Table 3.
Multivariate Regressions for Emerging and Developed Countries.
| RET | RET | VOLAT | VOLAT | VOLUM | VOLUM | |
|---|---|---|---|---|---|---|
| Panel A. Emerging Markets | ||||||
| RET(t-1) | 0.02332 | 0.02249 | ||||
| (0.04628) | (0.04692) | |||||
| VOLAT(t-1) | 0.99051*** | 0.99132*** | ||||
| (0.00154) | (0.00142) | |||||
| VOLUM(t-1) | 1.00007*** | 1.00009*** | ||||
| (0.00028) | (0.00029) | |||||
| %CASE | −0.01320* | 2.37310*** | 0.00213 | |||
| (0.00695) | (0.63576) | (0.01525) | ||||
| %DEATH | −0.11663* | 14.93623** | 0.15865 | |||
| (0.06560) | (6.97460) | (0.09843) | ||||
| JAN | −0.00434*** | −0.00454*** | 0.21916 | 0.28663* | −0.00217 | −0.00288 |
| (0.00142) | (0.00136) | (0.16383) | (0.14814) | (0.00869) | (0.00854) | |
| FEB | −0.00393*** | −0.00400*** | 0.31948** | 0.34996*** | −0.00255 | −0.00297 |
| (0.00095) | (0.00095) | (0.13210) | (0.12596) | (0.00711) | (0.00706) | |
| MAR | −0.00649*** | −0.00673*** | 1.43640*** | 1.53101*** | 0.01151 | 0.00990 |
| (0.00104) | (0.00099) | (0.18378) | (0.15366) | (0.00687) | (0.00661) | |
| APR | 0.00481*** | 0.00460*** | −0.43854*** | −0.41389*** | −0.01559** | −0.01591** |
| (0.00084) | (0.00082) | (0.12805) | (0.11480) | (0.00656) | (0.00658) | |
| MAY | 0.00218 | 0.00212 | −0.62505*** | −0.62137*** | −0.00152 | −0.00163 |
| (0.00151) | (0.00152) | (0.11325) | (0.11625) | (0.00681) | (0.00680) | |
| JUN | 0.00085 | 0.00081 | −0.10559 | −0.10233 | −0.00608 | −0.00610 |
| (0.00096) | (0.00097) | (0.06801) | (0.06701) | (0.00596) | (0.00597) | |
| JUL | 0.00014 | 0.00013 | −0.15945*** | −0.15889*** | −0.00823 | −0.00822 |
| (0.00073) | (0.00073) | (0.05677) | (0.05652) | (0.00915) | (0.00916) | |
| Intercept | 0.00092 | 0.00082 | 0.12243*** | 0.13172*** | 0.00414 | 0.00378 |
| (0.00072) | (0.00069) | (0.03799) | (0.04094) | (0.00822) | (0.00833) | |
| Country dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 5,940 | 5,940 | 5,940 | 5,940 | 5,940 | 5,940 |
| R-squared | 0.034 | 0.035 | 0.990 | 0.989 | 0.999 | 0.999 |
| VARIABLES | RET | RET | VOLAT | VOLAT | VOLUM | VOLUM |
|---|---|---|---|---|---|---|
| Panel B. Developed Markets | ||||||
| RET(t-1) | −0.08595** | −0.08215** | ||||
| (0.03134) | (0.03081) | |||||
| VOLAT(t-1) | 0.98211*** | 0.98213*** | ||||
| (0.00160) | (0.00189) | |||||
| VOLUM(t-1) | 0.99936*** | 0.99937*** | ||||
| (0.00030) | (0.00029) | |||||
| %CASE | −0.01757* | 1.62062** | 0.05341*** | |||
| (0.00923) | (0.72219) | (0.01027) | ||||
| %DEATH | −0.13387 | 3.02321 | 0.21541 | |||
| (0.08434) | (3.57721) | (0.13696) | ||||
| JAN | −0.00541*** | −0.00568*** | 0.18133 | 0.29224** | 0.01115** | 0.01374*** |
| (0.00104) | (0.00121) | (0.14552) | (0.12642) | (0.00440) | (0.00445) | |
| FEB | −0.00629*** | −0.00621*** | 0.56947*** | 0.63772*** | 0.01914*** | 0.02047*** |
| (0.00094) | (0.00065) | (0.07583) | (0.06858) | (0.00367) | (0.00370) | |
| MAR | −0.00673*** | −0.00807*** | 2.22820*** | 2.46655*** | 0.02862*** | 0.03510*** |
| (0.00172) | (0.00126) | (0.21827) | (0.18773) | (0.00304) | (0.00289) | |
| APR | 0.00284*** | 0.00270*** | −0.03600 | 0.00471 | −0.01975*** | −0.01876*** |
| (0.00042) | (0.00050) | (0.11180) | (0.11108) | (0.00338) | (0.00330) | |
| MAY | −0.00023 | −0.00016 | −0.35639*** | −0.35881*** | 0.00933*** | 0.00920*** |
| (0.00026) | (0.00026) | (0.10054) | (0.10601) | (0.00266) | (0.00267) | |
| JUN | −0.00088** | −0.00082** | 0.21094*** | 0.20549*** | 0.00574* | 0.00555 |
| (0.00040) | (0.00039) | (0.05333) | (0.05409) | (0.00327) | (0.00327) | |
| JUL | −0.00194*** | −0.00192*** | −0.06922 | −0.07041 | −0.00795** | −0.00799** |
| (0.00038) | (0.00037) | (0.05521) | (0.05650) | (0.00301) | (0.00302) | |
| Intercept | 0.00206*** | 0.00196*** | 0.15226*** | 0.16317*** | 0.00441 | 0.00444 |
| (0.00027) | (0.00025) | (0.04196) | (0.04674) | (0.00498) | (0.00483) | |
| Country dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 3,045 | 3,045 | 3,045 | 3,045 | 3,045 | 3,045 |
| R-squared | 0.033 | 0.035 | 0.987 | 0.987 | 0.999 | 0.999 |
RET represents a daily percentage stock return. VOLAT represents 30-days moving average volatility (in %). VOLUM represents the natural log of 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. Country dummy variables are included in the multivariate regression but not reported to conserve space. Robust and clustered by country and day standard errors are reported in parenthesis below the slope coefficient. ***, ** and * represent statistically significant at 1%, 5% and 10 % respectively.