Table 5.

Spline regression around the event day.

	Main Board				SME/GEM
	Coef.	SE	t-Stat		Coef.	SE	t-Stat
	(×100)	(×100)			(×100)	(×100)
${\Phi }_{10}$	−2.51	0.73	−3.44		−2.62	0.72	−3.62
${\Phi }_9$	−0.35	0.36	−0.98		0.51	0.46	1.11
${\Phi }_8$	−1.12	0.41	−2.70		−0.61	0.49	−1.24
${\Phi }_7$	0.21	0.30	0.70		0.62	0.37	1.67
${\Phi }_6$	−0.68	0.30	−2.25		−0.28	0.90	−0.31
${\Phi }_5$	−0.46	0.16	−2.89		−0.06	0.22	−0.29
${\Phi }_4$	−0.80	0.26	−3.09		−0.75	0.34	−2.19
${\Phi }_3$	0.03	0.22	0.13		−0.15	0.33	−0.45
${\Phi }_2$	0.67	0.19	3.54		1.31	0.33	3.93
${\Phi }_1$	−0.45	0.37	−1.22		−0.73	0.65	−1.13
$\beta \left(COVI{D}_{it}\right)$	−5.17	1.18	−4.39		−5.92	1.20	−4.92
${\Psi }_1$	0.12	0.33	0.37		0.90	0.37	2.43
${\Psi }_2$	1.99	0.17	11.41		2.73	0.21	13.16
${\Psi }_3$	1.28	0.38	3.38		1.93	0.62	3.13
${\Psi }_4$	0.57	0.18	3.23		1.10	0.45	2.48
${\Psi }_5$	0.73	0.32	2.26		0.05	0.68	0.08
${\Psi }_6$	−0.48	0.30	−1.59		−0.76	0.39	−1.94
${\Psi }_7$	1.11	0.32	3.53		1.69	0.45	3.80
${\Psi }_8$	−0.33	0.29	−1.14		0.08	0.63	0.13
${\Psi }_9$	0.40	0.27	1.46		0.12	0.39	0.31
${\Psi }_{10}$	2.16	0.28	7.86		3.28	0.36	9.16
Industry Fixed Effect	Yes				Yes
Province Fixed Effect	Yes				Yes
Adj. R-square (%)	1.99				1.37

Note: This table reports the spline regression results of the coefficient estimates, standard errors (SE), $t$-statistics (t-stat) and adjusted R-square. Standard errors are grouped at the province level. The regression specification is shown in Eq. (3). We use the daily return series of 2,696 firms in the Main Board and 882 firms in SME/GEM as the dependent variable. There are 796,598 day-firm observations in Main Board sample and 258,949 day-firm observations in SME/GEM sample. The sample period is between Dec. 2th, 2019 and Feb 23rd, 2020.