Table 6.

COVID-19 and cross-sectional stock returns without Hubei Province.

	Main Board
	Mdl1				Mdl2
	Coef.	SE	t-Stat		Coef.	SE	t-Stat
	(×100)	(×100)			(×100)	(×100)
$\delta \left(PreCOVI{D}_{i,j}\right)$					−0.54	0.13	−4.24
$\beta \left(COVI{D}_{ijt}\right)$	−5.32	1.18	−4.52		−5.34	1.18	−4.54
$\gamma \left(PostCOVI{D}_{i,j}\right)$	0.78	0.09	9.18		0.76	0.08	9.04
Control Variables	Yes				Yes
Industry Fixed Effect	Yes				Yes
Province Fixed Effect	Yes				Yes
Adj. R-square (%)	1.45				1.52
	SME/GEM
	Mdl1				Mdl2
	Coef.	SE	t-Stat		Coef.	SE	t-Stat
	(×100)	(×100)			(×100)	(×100)
$\delta \left(PreCOVI{D}_{i,j}\right)$					−0.26	0.16	−1.63
$\beta \left(COVI{D}_{ijt}\right)$	−6.21	1.18	−5.27		−6.22	1.18	−5.29
$\gamma \left(PostCOVI{D}_{i,j}\right)$	1.15	0.18	6.36		1.14	0.18	6.20
Industry Fixed Effect	Yes				Yes
Province Fixed Effect	Yes				Yes
Adj. R-square (%)	0.97				0.98

Note: This table reports the baseline DID 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. (1) and Eq. (2). We use the daily return series of Main Board firms and SME/GEM firms registered in provinces other than Hubei Province. The sample period is from Dec. 2nd, 2019 to Feb. 23rd, 2021.