Table 4.

Individual stock return

Variable	Case(i)	Case(ii)
COVID-19
S&P500	−0.177*	−0.235**
DOW	−0.051*	−0.032**
DAX	−0.162***	−0.112*
S&P500	−0.174*	−0.213*
NASDAQ	−0.246*	−0.334**
DOW	−0.475	−0.381*
DAX	−1.427*	−1.783*
CRIA	−0.424*	−0.332*
Cyprus	4.422*	3.321**
Constant	−2.444*	−1.552*
AR(2) p-value	0.462*	0.556**
Hansen p-value	0.442	0.332

Note: *,**,*** indicates 1%, 5% and 10% significance level