Table 4. Granger causality test results (December 31, 2018-April, 30, 2020).

	1-Lag	2-Lags	3-Lags	4-Lags	5-lags
Hospitality
Uncertainty → Variation in Returns	139.99***	52.92***	20.69***	13.93***	13.54***
Beer & Liquor
Uncertainty → Variation in Returns	64.59***	12.74***	4.67***	6.44***	6.56***
Apparel
Uncertainty → Variation in Returns	111.66***	28.49***	17.91***	17.71***	13.94***
Food
Uncertainty → Variation in Returns	41.41***	14.4***	8.19***	9.31***	7.31***
Fun
Uncertainty → Variation in Returns	34.54***	4.58**	2.92**	10.62***	17.35***
Consumer Goods
Uncertainty → Variation in Returns	40.65***	7.40***	9.14***	12.32***	13.71***
Personal Services
Uncertainty → Variation in Returns	71.55***	8.16***	9.11***	11.08***	18.22***
Candy& Soda
Uncertainty → Variation in Returns	134.23***	36.35***	15.72***	7.89***	11.06***
Transportation
Uncertainty → Variation in Returns	91.77***	18.89***	10.19***	7.89***	8.23***
Retail
Uncertainty → Variation in Returns	23.00***	6.84***	6.60***	9.43***	12.69***
#Observations	334	333	332	331	330

Notes: The table reports the results of the Granger causality test of the relationship between uncertainty due to infectious diseases and variations in returns in the hospitality and other related industries. The data cover December 31, 2018 to April 30, 2019. The results indicate that uncertainty due the COVID-19 pandemic is the driver of the variation in the stock prices in the hospitality sector. The values reported are the F-statistic values related to the Granger test. By Uncertainty → Variation in Returns, we mean that uncertainty does not Granger-cause the variations in returns. The lag order refers to the number of lags used in Eq (2).

"***," "**" and "*" denote statistical significance at the 1%, 5% and 10% levels, respectively.