Table 2.
Results of unit root tests
| Variable | ADF test | NL test | Break dates | ||||
|---|---|---|---|---|---|---|---|
| Level | FD | I(d) | Level | FD | I(d) | ||
| Full sample | |||||||
| Gold return | − 81.029*** | – | I(0) | − 88.802*** | – | I(0) | – |
| EMV-ID | − 17.959*** | – | I(0) | − 462.57*** | – | I(0) |
1997-09-22 2004-06-03 2009-02-25 |
| Pre-COVID announcement | |||||||
| Gold return | − 79.331*** | I(0) | − 85.597*** | – | I(0) | – | |
| EMV-ID | − 17.512*** | I(0) | − 5871.7*** | – | I(0) |
1997-09-22 2004-06-03 2009-02-11 |
|
| Post-COVID announcement | |||||||
| Gold return | − 15.488*** | – | I(0) | − 16.688*** | – | I(0) | – |
| EMV-ID | − 2.849* | − 13.688*** | I(1) | − 7.425*** | I(0) | 2020-05-21 | |
EMV-ID is the Equity Market Volatility-Infectious Diseases; ADF test is the Augmented Dickey Fuller test; NL test is the Narayan and Liu (2015) test; FD denotes First Difference. The test regression for all the unit root tests includes intercept and trend; I(d) implies the order of integration, where d is the number of differencing required for a series to become stationary; EMV-ID is logged while the gold return is expressed in log return form. The breaks are determined using the Bai and Perron (2003) test
*, **, ***Indicate the rejection of the null hypothesis of a unit root at 1%, 5% and 10%, respectively