Table 5.
Multivariate Regression during Rising and Stabilizing Infection Periods for Emerging and Developed Countries.
| VARIABLES | RET | RET | VOLAT | VOLAT | VOLUM | VOLUM |
|---|---|---|---|---|---|---|
| Panel A. Emerging Markets | ||||||
| (1) Pre-April 1, 2020 | ||||||
| RET(t-1) | −0.08104* | −0.08328** | ||||
| (0.04132) | (0.04095) | |||||
| VOLAT(t-1) | 0.99625*** | 0.99735*** | ||||
| (0.00716) | (0.00739) | |||||
| VOLUM(t-1) | 1.00104*** | 1.00111*** | ||||
| (0.00078) | (0.00076) | |||||
| %CASE | −0.01703** | 2.02138*** | 0.01139** | |||
| (0.00771) | (0.71784) | (0.00539) | ||||
| %DEATH | −0.15011** | 13.34268* | 0.21854** | |||
| (0.06963) | (7.04443) | (0.08839) | ||||
| Intercept | −0.00314*** | −0.00337*** | 0.35753** | 0.38173** | −0.01711 | −0.01866 |
| (0.00087) | (0.00089) | (0.16525) | (0.18330) | (0.01696) | (0.01660) | |
| Month dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Country dummies | ||||||
| Observations | 1,246 | 1,246 | 1,246 | 1,246 | 1,246 | 1,246 |
| R-squared | 0.013 | 0.016 | 0.979 | 0.979 | 1.000 | 1.000 |
| (2) Post-April 1, 2020 | ||||||
| RET(t-1) | 0.09391 | 0.09365 | ||||
| (0.06990) | (0.06970) | |||||
| VOLAT(t-1) | 0.98820*** | 0.98922*** | ||||
| (0.00324) | (0.00319) | |||||
| VOLUM(t-1) | 0.99985*** | 0.99980*** | ||||
| (0.00049) | (0.00050) | |||||
| %CASE | 0.00026 | 4.05886*** | −0.04468 | |||
| (0.01518) | (1.20522) | (0.05264) | ||||
| %DEATH | 0.14529 | 31.24933*** | −0.43382 | |||
| (0.12526) | (8.73566) | (0.47534) | ||||
| Intercept | 0.00069 | 0.00061 | 0.13739*** | 0.15574*** | 0.00826 | 0.00878 |
| (0.00078) | (0.00066) | (0.04166) | (0.03835) | (0.01105) | (0.01137) | |
| Month dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Country dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 4,694 | 4,694 | 4,694 | 4,694 | 4,694 | 4,694 |
| R-squared | 0.022 | 0.023 | 0.992 | 0.992 | 0.999 | 0.999 |
| VARIABLES | RET | RET | VOLAT | VOLAT | VOLUM | VOLUM |
|---|---|---|---|---|---|---|
| Panel B. Developed Markets | ||||||
| (1) Pre-April 1, 2020 | ||||||
| RET(t-1) | −0.09388** | −0.08877* | ||||
| (0.04435) | (0.04347) | |||||
| VOLAT(t-1) | 0.98434*** | 0.98410*** | ||||
| (0.00374) | (0.00422) | |||||
| VOLUM(t-1) | 0.99721*** | 0.99697*** | ||||
| (0.00090) | (0.00096) | |||||
| %CASE | −0.01590 | 1.12178 | 0.05485*** | |||
| (0.00956) | (0.78041) | (0.01046) | ||||
| %DEATH | −0.13056 | 1.84942 | 0.22020 | |||
| (0.08369) | (3.63314) | (0.14146) | ||||
| Intercept | −0.00436*** | −0.00431*** | 2.37133*** | 2.55819*** | 0.06454*** | 0.07074*** |
| (0.00101) | (0.00066) | (0.31248) | (0.28439) | (0.01722) | (0.01876) | |
| Month dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Country dummies | ||||||
| Observations | 812 | 812 | 812 | 812 | 812 | 812 |
| R-squared | 0.011 | 0.014 | 0.982 | 0.982 | 0.999 | 0.999 |
| (2) Post-April 1, 2020 | ||||||
| RET(t-1) | −0.07349*** | −0.07268*** | ||||
| (0.01477) | (0.01533) | |||||
| VOLAT(t-1) | 0.97535*** | 0.97725*** | ||||
| (0.00424) | (0.00344) | |||||
| VOLUM(t-1) | 1.00029*** | 1.00031*** | ||||
| (0.00022) | (0.00021) | |||||
| %CASE | −0.07101*** | 15.77771*** | 0.04868* | |||
| (0.01558) | (2.78057) | (0.02886) | ||||
| %DEATH | −0.38626*** | 90.74347*** | 0.92145*** | |||
| (0.12277) | (27.50109) | (0.29883) | ||||
| Intercept | 0.00243*** | 0.00199*** | 0.16760** | 0.23021*** | −0.01201*** | −0.01243*** |
| (0.00029) | (0.00024) | (0.07767) | (0.07391) | (0.00395) | (0.00377) | |
| Month dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Country dummies | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 2,233 | 2,233 | 2,233 | 2,233 | 2,233 | 2,233 |
| R-squared | 0.016 | 0.012 | 0.989 | 0.989 | 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 (%). Month and Country dummy variables are included in the 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.