TABLE 7.

The influence of COVID‐19 deaths and recovered cases on stock returns, conditional volatility, and conditional skewness

	United Kingdom	United States	Italy	Germany	China	Brazil	Russia	India	Spain
Panel A: Mean return
W.Return	0.21452***	−0.05065**	0.1165***	0.19813***	0.22967***	0.03282	0.26894***	0.35395***	0.21442***
Death	0.000085	−0.00055	−0.00014*	0.00045	0.00110	−0.00094	0.00400	−0.00191	0.00019
Recovery	0.00764***	−0.00029	0.000044**	−0.0000	−0.0000	0.00104***	−0.00025	0.00014	−0.0000
Panel B: Conditional volatility
W.Return	−0.13901***	−0.14547***	−0.09288***	−0.07532***	−0.05982***	−0.0856***	−0.07210***	−0.07293***	−0.08029***
Death	0.00018***	0.00719*	0.0000***	0.0000*	−0.00013	−0.0000	0.00077	0.00015	0.0000*
Recovery	0.00068	−0.0000	−0.000016***	−0.0000	0.0000	0.0000	−0.0000	0.0000*	−0.0000
Panel C: Conditional skewness
W.Return	0.17341***	0.12271**	0.06966	0.10813**	0.10326***	0.03841	0.08670*	0.03899	0.02154
Death	−0.00069***	0.00916	−0.00036**	0.00014	−0.0005	0.00738***	−0.00611	−0.00151	0.00030
Recovery	0.01420**	0.00083	0.0000*	0.0000*	0.0000	−0.00225*	0.00011	0.00036	0.0000

Note: This table provides the results from the regression estimation of COVID‐19 deaths and recovered cases on stock returns, conditional volatility and conditional skewness. Dependent variable is mean return that represents the daily percentage changes in the selected markets' stock indices in Panel A, while it is conditional volatility modeled using an asymmetric EGARCH (1,1) of Nelson (1991) in Panel B, and it is conditional skewness estimated using an asymmetric EGARCH(1,1) of Nelson (1991) in Panel C. See model specification in Section 3. W.Return is average daily percentage returns of MSCI World Index; Death is the total number of daily deaths; Recovery is the total number of daily recovered cases.

Abbreviation: EGARCH, exponential generalized autoregressive conditional heteroscedasticity.

^*Significant at 10%.

^**Significant at 5%.

^***Significant at 1%.