Table 12.

Endogeneity estimation results (Market returns).

Variables	Market returns
	OLS		Fixed Effects		System GMM
	Model (1)	Model (2)	Model (3)	Model (4)	Model (5)	Model (6)
Market returns${}_{(t-1)}$					-0.056	-0.251**
					[0.156]	[0.125]
Market returns${}_{(t-2)}$					-0.045	-0.094
					[0.103]	[0.087]
$\Delta$ Feverish	-0.041***	-0.019***	-0.042***	-0.019***	-0.071***	-0.026*
	[0.003]	[0.003]	[0.003]	[0.003]	[0.011]	[0.015]
Constant	0.001***	0.001	0.001	0.001	0.001***	0.001*
	[0.000]	[0.001]	[0.001]	[0.001]	[0.000]	[0.000]
Control variables	NO	YES	NO	YES	NO	YES
Observation	969	969	969	969	952	952
R-squared	0.11	0.27	0.12	0.28
AR (1)					-2.515**	-2.346*
AR (2)					0.412	-0.027
Sargan test					15.27	13.65

Notes: Columns 2–3 report results based on OLS estimation, columns 4–5 report results based on the Fixed effects model, while columns 6–7 report estimation based on System GMM model. Sargan is a test of the over-identifying restrictions, while AR (1) and AR (2) are the Arellano-Bond tests for first-order and second-order correlation, respectively. *, **, and *** indicate 10%, 5%, and 1% significance level. Standard errors are reported in parentheses. Model (1), (3) and (5) report the baseline model without any control variables while the remaining models included the other determinants to reduce the omitted factors. $\Delta$ denotes the change (first difference) of Fear indexes. The list of control variables is calculated as the return for the iBoxx bond index, the gold prices, and the crude oil WTI prices.