Table 6.

Lagged lockdown index and statistic results

	-(1)	-(2)	-(3)
	VIXJ	JV	Job
COVID-19 pandemic	0.38	0.35	0.18
t-statistic	4.02***	3.02***	− 1.4
t-statistic (Newey-West)	5.15***	2.63***	0.98
Market	0.47	0.66	0.58
t-statistic	6.43***	7.43***	4.99***
t-statistic (Newey-West)	5.41***	4.66***	2.27***
Lockdown t − 5	0.03	− 0.19	− 0.22
t-statistic	− 0.22	− 2.55	− 2.81*
t-statistic (Newey-West)	0.22	− 2.76*	− 1.81***
Bank index	0.3	− 0.07	0
t-statistic	1.33**	− 0.49	− 0.02
t-statistic (Newey-West)	2.60	− 2.02	0.01
Relief by government	− 0.08	− 0.17	− 0.30
t-statistic	− 0.81	− 2.41	− 2.88*
NW t-statistic	− 0.65	− 1.66***	− 3.77***
Log(DY)	0.46	− 0.01	0.13
t-statistic	− 0.63	(− 0.01)	− 0.13
t-statistic (Newey-West)	0.51	[− 0.02]	0.21
CS	− 0.26	0.34	0.56
t-statistic	− 0.71	− 0.74	− 1.15
t-statistic (Newey-West)	− 0.70	0.88	1.77
TS	1.29	− 0.49	− 0.03
t-statistic	2.69**	− 0.84	− 0.05
t-statistic (Newey-West)	1.99**	− 0.66	− 0.04
Adj. R2	71.35%	42.61%	41.39%

Note: *** means 1% significance, ** 5% significance, and * 10% significance.