Table A1.
Summary statistics
| Panel A: Sectoral returns | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Before COVID-19 | During COVID-19 | Full Sample | ||||||||||
| Variables | Mean | Max | Min | SD | Mean | Max | Min | SD | Mean | Max | Min | SD |
| Banks | -0.055 | 6.022 | -5.382 | 1.470 | -0.087 | 10.231 | -16.132 | 3.741 | -0.067 | 10.231 | -16.132 | 2.567 |
| Life Insurance | -0.079 | 4.174 | -4.763 | 1.389 | -0.081 | 16.541 | -12.714 | 3.309 | -0.080 | 16.541 | -12.714 | 2.303 |
| Auto and Parts | 0.022 | 6.977 | -4.546 | 1.657 | -0.107 | 12.148 | -21.447 | 3.693 | -0.027 | 12.148 | -21.447 | 2.613 |
| Beverages | -0.032 | 5.213 | -8.131 | 1.315 | 0.059 | 14.347 | -12.865 | 2.861 | 0.002 | 14.347 | -12.865 | 2.037 |
| Chemicals | -0.269 | 9.952 | -13.020 | 2.458 | -0.152 | 30.354 | -49.534 | 7.042 | -0.225 | 30.354 | -49.534 | 4.728 |
| Construction and Materials | -0.137 | 4.636 | -5.770 | 1.451 | 0.011 | 11.851 | -7.754 | 2.201 | -0.082 | 11.851 | -7.754 | 1.770 |
| Electronic and Electrical Equipment | -0.059 | 5.884 | -6.172 | 1.735 | -0.208 | 9.789 | -15.260 | 3.650 | -0.115 | 9.789 | -15.260 | 2.622 |
| Food and Drug Retailers | -0.020 | 4.481 | -4.666 | 1.270 | 0.008 | 7.691 | -9.968 | 2.020 | -0.009 | 7.691 | -9.968 | 1.592 |
| Food Producers | -0.080 | 4.466 | -4.149 | 1.081 | 0.036 | 7.189 | -5.075 | 1.666 | -0.036 | 7.189 | -5.075 | 1.331 |
| Forestry and Paper | -0.034 | 3.801 | -5.310 | 1.572 | 0.030 | 10.969 | -11.661 | 2.665 | -0.010 | 10.969 | -11.661 | 2.050 |
| Fixed Line Telecommunications | -0.243 | 9.168 | -10.982 | 2.528 | 0.082 | 16.145 | -18.549 | 5.536 | -0.121 | 16.145 | -18.549 | 3.936 |
| General Retailers | -0.137 | 4.688 | -7.928 | 1.512 | -0.020 | 8.929 | -11.632 | 2.955 | -0.093 | 8.929 | -11.632 | 2.168 |
| General Financials | -0.039 | 4.030 | -4.702 | 1.104 | -0.080 | 14.019 | -12.190 | 2.548 | -0.054 | 14.019 | -12.190 | 1.787 |
| General Industrials | -0.093 | 3.761 | -4.077 | 1.223 | -0.087 | 9.513 | -9.266 | 2.970 | -0.091 | 9.513 | -9.266 | 2.058 |
| Health Care Equipment and Services | -0.030 | 3.870 | -4.216 | 1.290 | -0.154 | 9.734 | -12.700 | 2.713 | -0.076 | 9.734 | -12.700 | 1.949 |
| Industrial Metals and Mining | -0.004 | 8.092 | -8.726 | 2.673 | 0.284 | 14.182 | -14.522 | 3.680 | 0.104 | 14.182 | -14.522 | 3.090 |
| Industrial Transportation | -0.113 | 4.720 | -4.711 | 1.274 | 0.080 | 11.122 | -12.911 | 3.265 | -0.040 | 11.122 | -12.911 | 2.240 |
| Media | 0.003 | 8.884 | -6.408 | 1.808 | 0.161 | 11.004 | -9.099 | 2.554 | 0.062 | 11.004 | -9.099 | 2.118 |
| Mining | 0.076 | 3.678 | -7.506 | 1.245 | 0.104 | 13.464 | -15.891 | 3.087 | 0.086 | 13.464 | -15.891 | 2.130 |
| Mobile Telecommunications | -0.045 | 12.061 | -6.165 | 1.614 | -0.035 | 10.810 | -11.976 | 3.293 | -0.041 | 12.061 | -11.976 | 2.385 |
| Nonlife Insurance | -0.035 | 3.964 | -4.611 | 1.402 | -0.008 | 8.112 | -7.101 | 2.327 | -0.025 | 8.112 | -7.101 | 1.804 |
| Personal Goods | 0.034 | 6.095 | -6.131 | 1.527 | 0.115 | 10.387 | -11.067 | 2.465 | 0.064 | 10.387 | -11.067 | 1.932 |
| Pharmaceuticals and Biotechnology | -0.074 | 8.891 | -29.701 | 2.797 | 0.072 | 10.299 | -12.188 | 2.964 | -0.019 | 10.299 | -29.701 | 2.859 |
| Real Estate Investment Services | 0.003 | 4.337 | -3.159 | 0.865 | -0.224 | 17.353 | -23.667 | 3.743 | -0.082 | 17.353 | -23.667 | 2.394 |
| Real Estate Investment Trust | -0.125 | 2.725 | -3.612 | 0.853 | -0.251 | 15.984 | -16.380 | 3.583 | -0.173 | 15.984 | -16.380 | 2.295 |
| Software and Computer Services | 0.036 | 3.971 | -8.619 | 1.685 | 0.116 | 9.543 | -8.961 | 2.560 | 0.066 | 9.543 | -8.961 | 2.056 |
| Support Services | -0.033 | 4.766 | -4.241 | 1.384 | 0.088 | 9.480 | -12.178 | 2.668 | 0.013 | 9.480 | -12.178 | 1.966 |
| Tobacco | 0.104 | 8.306 | -5.480 | 1.724 | -0.061 | 8.428 | -9.066 | 2.254 | 0.042 | 8.428 | -9.066 | 1.940 |
| Travel and Leisure | -0.184 | 4.024 | -3.291 | 1.230 | -0.319 | 21.819 | -20.132 | 4.421 | -0.235 | 21.819 | -20.132 | 2.876 |
| Panel B: Industry returns | ||||||||||||
| Before COVID-19 | During COVID-19 | Full Sample | ||||||||||
| Variables | Mean | Max | Min | SD | Mean | Max | Min | SD | Mean | Max | Min | SD |
| Basic Materials | 0.030 | 3.483 | -6.767 | 1.195 | 0.088 | 12.091 | -15.665 | 3.004 | 0.052 | 12.091 | -15.665 | 2.067 |
| Consumer Goods | 0.031 | 4.722 | -3.887 | 1.161 | 0.072 | 7.236 | -10.041 | 2.015 | 0.047 | 7.236 | -10.041 | 1.537 |
| Consumer Services | -0.041 | 3.563 | -4.245 | 1.176 | 0.006 | 6.371 | -9.309 | 2.009 | -0.023 | 6.371 | -9.309 | 1.541 |
| Financials | -0.060 | 3.653 | -4.299 | 1.095 | -0.096 | 13.272 | -13.096 | 3.090 | -0.073 | 13.272 | -13.096 | 2.080 |
| Health Care | -0.045 | 4.908 | -10.383 | 1.470 | -0.068 | 6.506 | -11.113 | 2.388 | -0.054 | 6.506 | -11.113 | 1.867 |
| Industrials | -0.098 | 3.080 | -3.835 | 1.034 | -0.050 | 7.643 | -9.723 | 2.570 | -0.080 | 7.643 | -9.723 | 1.773 |
| Technology | 0.036 | 3.971 | -8.619 | 1.685 | 0.116 | 9.543 | -8.961 | 2.560 | 0.066 | 9.543 | -8.961 | 2.056 |
| Telecommunications | -0.056 | 11.245 | -6.060 | 1.577 | -0.030 | 10.630 | -11.739 | 3.289 | -0.046 | 11.245 | -11.739 | 2.367 |
| Panel C: Factors and exchange rate | ||||||||||||
| Variables | Before COVID-19 | During COVID-19 | Full Sample | |||||||||
| RM | 0.001 | 2.133 | -4.608 | 0.896 | 0.038 | 7.261 | -10.227 | 2.071 | 0.015 | 7.261 | -10.227 | 1.452 |
| EX | 0.027 | 2.499 | -2.411 | 0.818 | -0.007 | 3.983 | -2.842 | 1.156 | 0.014 | 3.983 | -2.842 | 0.958 |
| OIL | 0.005 | 11.070 | -6.749 | 2.108 | -0.099 | 41.202 | -64.370 | 8.366 | -0.034 | 41.202 | -64.370 | 5.385 |
| SR | 7.008 | 7.610 | 6.200 | 0.279 | 4.159 | 6.430 | 3.430 | 0.842 | 5.937 | 7.610 | 3.430 | 1.491 |
The table shows summary statistics on the sectoral and industrial returns, the three factors (market returns (RM), short-term interest rate (SR), and oil price growth/returns (OIL)), and exchange rate returns (EX). The statistics are reported for three periods: before COVID-19 (1 January 2019 to 5 March 2020), during COVID-19 (6 March 2020 to 19 November 2020), and the full sample period (1 January 2019 to 19 November 2020). Max, Min, and SD denote maximum, minimum, and standard deviation, respectively.