Table 4.
Correlations.
| Variables | ΔCoVaR | COVID19_GR | Size | Leverage | Return | Volatility |
|---|---|---|---|---|---|---|
| ΔCoVaR | 1.000 | |||||
| COVID19_GR | 0.352*** | 1.000 | ||||
| Size | 0.493*** | -0.045*** | 1.000 | |||
| Leverage | 0.091*** | -0.023*** | 0.063*** | 1.000 | ||
| Return | -0.025*** | -0.074*** | 0.003* | -0.012*** | 1.000 | |
| Volatility | 0.458*** | 0.253*** | 0.055*** | -0.015*** | 0.030*** | 1.000 |
This table displays the pairwise correlation coefficients for the variables used in the baseeline regression. The sample consists of 1,584 banks in 64 countries over the February 6–December 10, 2020 period. ΔCoVaR is the proxy for systemic risk; COVID19_GR is the 14-day moving average log growth rate of confirmed COVID-19 cases; Size is the log of demeaned market capitalization; Leverage is the sum of the market value of equity and book liabilities divided by the market value of equity; Return is bank stock return; Volatility is the standard deviation of bank retruns over the previous 30 days. ***, **, and * denote significance at the 1%, 5%, and 10% levels, respectively.