Table A1.

Summary Statistics for the Panel Regressions of Daily Credit Spread Changes.

Variables	Obs	Mean	Std	P1	P25	Median	P75	P99
Full Sample
$\Delta s$	194,846	0.20	44.62	$-$152.75	$-$10.98	$-$0.39	10.14	167.33
$r$	194,747	$-$0.03	4.18	$-$13.04	$-$1.80	$-$0.06	1.62	14.17
$\Delta BAS$	36,255	$-$1.30	198.79	$-$692.51	$-$67.51	$-$0.03	65.95	689.66
$\Delta VOL$	194,846	$-$0.08	8.03	$-$28.68	$-$2.11	0.00	2.00	27.89
Stock Return Regression
$\Delta s$	194,747	0.23	44.38	$-$150.07	$-$10.97	$-$0.38	10.13	165.93
$r$	194,747	$-$0.03	4.18	$-$13.04	$-$1.80	$-$0.06	1.62	14.17
Liquidity Regression
$\Delta s$	36,255	$-$1.45	54.96	$-$232.85	$-$15.84	$-$2.12	11.31	253.84
$\Delta BAS$	36,255	$-$1.30	198.79	$-$692.51	$-$67.51	$-$0.03	65.95	689.66
$\Delta VOL$	36,255	$-$0.12	9.68	$-$35.30	$-$3.13	$-$0.01	3.01	33.08

This table reports the summary statistics for daily credit spread changes (in bps) during the Global Financial Crisis period. Following Bao et al. (2018), we define the crisis period as from July 1, 2007, to April 30, 2009. To calculate credit spread changes, we require at least two consecutive daily observations for bond prices. $r$ is stock returns adjusted for delisting. $\Delta BAS$ is changes in bid-ask spreads, and $\Delta VOL$ is changes in trading volume. We winsorize all continuous variables at the 1% and 99% levels to exclude outliers.