Table 5.
Empirical estimation results with dependent variable ln((Pct_chg)2) of pooled or panel least square with or without AR(1) term with complete theoretical guidance (n = 60,144)
| Model (5–1) (Pooled least squares) |
Model (5–2) (Cross-section random effects) |
Model (5–3) (Cross-section weights) |
Model (5–4) (Period weights) |
Model (5–5) (Period SUR) |
Model (5–6) (Pooled least squares with AR(1)) |
Model (5–7) (Cross-section weights with AR(1)) |
|
|---|---|---|---|---|---|---|---|
| ln((Close)2) |
0.235*** (25.978) |
0.254*** (21.598) |
0.164*** (24.739) |
0.177*** (20.876) |
0.168*** (16.306) |
0.246*** (24.736) |
0.169*** (23.246) |
| Daily_infection |
− 1.49E−05 (− 0.945) |
− 1.51E−05 (− 0.996) |
− 2.34E−05** (− 2.157) |
− 3.43E−05** (− 2.150) |
− 4.88E−05 (− 3.279) |
5.44E−05*** (2.777) |
5.82E−05*** (4.378) |
| ln(∆Daily_infection2) |
0.091*** (2.582) |
0.091*** (2.685) |
0.105*** (4.337) |
0.102*** (2.826) |
0.104*** (2.927) |
0.062* (1.752) |
0.064*** (2.668) |
| Suspected_infection |
− 0.000*** (− 33.811) |
− 0.000*** (− 35.152) |
− 0.000*** (− 46.005) |
− 0.000*** (− 43.731) |
− 0.000*** (− 43.146) |
− 0.000*** (− 19.818) |
− 0.000*** (− 26.181) |
| ln((∆Suspected_infection_new)2) |
0.023*** (2.959) |
0.023*** (3.079) |
0.024*** (4.495) |
0.039*** (5.168) |
0.036*** (5.049) |
− 0.003 (− 0.388) |
− 0.008 (− 1.313) |
| ICU_patients |
0.000*** (12.227) |
0.000*** (12.696) |
0.000*** (17.467) |
0.000*** (10.443) |
0.000*** (11.104) |
0.000*** (10.779) |
0.000*** (15.095) |
| ln((∆ICU_patients_new)2) |
− 0.055*** (− 6.115) |
− 0.055*** (− 6.355) |
− 0.053*** (− 8.563) |
− 0.072*** (− 7.891) |
− 0.066*** (− 7.608) |
− 0.029*** (− 3.049) |
− 0.023*** (− 3.494) |
| Death_cases |
− 0.009 (− 11.660) |
− 0.009 (− 12.102) |
− 0.008*** (− 15.112) |
− 0.009*** (− 10.205) |
− 0.008*** (− 9.604) |
− 0.012*** (− 13.024) |
− 0.011*** (− 18.265) |
| ln((∆Death_cases)2) |
0.772*** (12.361) |
0.773*** (12.845) |
0.632*** (14.677) |
0.734*** (11.831) |
0.712*** (11.287) |
0.779*** (12.457) |
0.661*** (15.612) |
| Recovery |
0.000*** (9.244) |
0.000*** (9.589) |
0.000*** (12.040) |
0.000*** (7.429) |
0.000*** (6.812) |
0.000*** (10.804) |
0.000*** (15.612) |
| ln((∆Recovery)2) |
− 0.050 (− 1.241) |
− 0.051 (− 1.298) |
− 0.016 (− 0.566) |
0.016 (0.429) |
0.014 (0.405) |
− 0.019 (− 0.454) |
0.014 (0.516) |
| Total_revenue |
− 9.97E−09*** (− 2.082) |
− 1.03E−08*** (− 1.649) |
− 8.55E−09** (− 2.153) |
− 1.01E−08** (− 2.261) |
− 9.42E−09* (− 1.725) |
− 6.21E−09 (− 1.178) |
− 5.29E−09 (− 1.507) |
| ln(Operating_cost) |
− 0.107*** (− 10.388) |
− 0.109*** (− 8.129) |
− 0.101*** (− 14.053) |
− 0.111*** (− 11.538) |
− 0.107*** (− 9.121) |
− 0.101*** (− 8.929) |
− 0.094*** (− 12.039) |
| Operating_profit |
− 7.28E−08*** (− 3.767) |
− 7.42E−08*** (− 2.957) |
− 8.74E−08*** (− 4.204) |
− 7.02E−08*** (− 3.889) |
− 6.96E−08*** (− 3.163) |
− 8.94E−08*** (− 4.206) |
− 1.09E−07** (− 4.967) |
| ln(Buy_vol) |
0.147** (19.098) |
0.156*** (15.568) |
0.551*** (9.512) |
0.124*** (17.105) |
0.123*** (13.926) |
0.668*** (7.007) |
0.152*** (24.806) |
| Industry_5 |
0.655*** (7.554) |
0.656*** (5.823) |
− 0.176* (− 1.876) |
0.575*** (7.091) |
0.507*** (5.136) |
0.465*** (3.946) |
0.574*** (9.018) |
| Industry_7 |
0.416*** (3.879) |
0.408*** (2.925) |
0.369*** (5.031) |
0.345*** (3.439) |
0.364*** (2.977) |
− 0.932*** (− 3.234) |
− 0.191** (− 1.918) |
| Industry_8 |
− 0.794*** (− 3.028) |
− 0.767** (− 2.253) |
− 0.548** (− 2.235) |
− 0.932*** (− 3.234) |
0.392*** (4.894) |
||
| Industry_9 |
− 1.513*** (− 9.354) |
− 1.489*** (− 7.089) |
− 1.301*** (− 8.246) |
− 1.597*** (− 10.559) |
− 1.601*** (− 8.691) |
− 1.444*** (− 8.119) |
− 1.208*** (− 7.289) |
| Industry_10 |
0.590*** (4.200) |
0.574*** (3.144) |
0.505*** (5.143) |
0.496*** (3.771) |
0.474*** (2.961) |
0.613*** (3.964) |
0.532*** (4.936) |
| Industry_15 |
0.177** (2.202) |
0.175* (1.683) |
0.158** (2.100) |
0.209** (2.379) |
0.105* (1.688) |
||
| Industry_16 |
0.225** (2.375) |
0.211* (1.718) |
0.141** (2.059) |
0.247** (2.376) |
0.176** (2.449) |
||
| Industry_19 |
0.238*** (2.343) |
0.241*** (3.299) |
0.196** (2.068) |
0.248** (2.221) |
0.264*** (3.257) |
||
| Industry_21 |
0.524*** (5.047) |
0.484*** (3.591) |
0.525*** (7.094) |
0.379*** (3.905) |
0.363*** (3.068) |
0.571*** (5.001) |
0.586*** (7.132) |
| Industry_22 |
− 0.627*** (− 2.744) |
− 0.625** (− 2.105) |
− 1.029*** (− 6.274) |
− 0.502** (− 2.351) |
0.379*** (2.976) |
− 0.694*** (− 2.761) |
− 1.068*** (− 5.909) |
| Industry_23 |
0.267** (2.385) |
0.252* (1.734) |
0.131* (1.681) |
0.343*** (3.276) |
− 0.319** (− 2.546) |
0.279** (2.269) |
0.148* (1.723) |
| Industry_26 |
− 0.205* (− 1.867) |
− 0.365*** (− 4.907) |
− 0.300*** (− 2.919) |
− 0.319** (− 2.546) |
− 0.368*** (− 4.498) |
||
| Industry_27 |
− 0.589*** (− 6.437) |
− 0.575*** (− 4.831) |
− 0.583* (− 8.891) |
− 0.562*** (− 6.559) |
− 0.514*** (− 4.922) |
− 0.590*** (− 5.864) |
− 0.574*** (− 8.145) |
| Industry_28 |
− 0.714*** (− 7.644) |
− 0.694*** (− 5.723) |
− 0.634*** (− 8.891) |
− 0.824*** (− 9.438) |
− 0.778*** (− 7.313) |
− 0.718*** (− 6.993) |
− 0.621*** (− 7.677) |
| Industry_29 |
0.579*** (4.122) |
0.569*** (3.120) |
0.442*** (4.761) |
0.505*** (3.847) |
0.459*** (2.869) |
0.618*** (4.004) |
0.492*** (4.792) |
| Industry_31 |
− 0.201*** (− 2.663) |
− 0.202** (− 2.092) |
− 0.289** (− 2.037) |
− 0.153* (− 1.841) |
|||
| Industry_34 |
0.330* (1.953) |
0.199** (1.701) |
0.277* (1.753) |
0.346* (1.798) |
0.244* (1.960) |
||
| Industry_36 |
− 1.037*** (− 6.693) |
− 1.015*** (− 5.042) |
− 0.759*** (− 6.339) |
− 0.802*** (− 5.541) |
− 0.551*** (− 3.123) |
− 1.124*** (− 6.602) |
− 0.819*** (− 6.253) |
| Industry_37 |
− 0.757*** (− 5.256) |
− 0.736*** (− 3.933) |
− 0.849*** (− 8.504) |
− 0.763*** (− 5.661) |
− 0.722*** (− 4.401) |
− 0.679*** (− 4.285) |
− 0.769*** (− 7.432) |
| Industry_38 |
− 0.785*** (− 5.887) |
− 0.771*** (− 4.451) |
− 0.894*** (− 9.921) |
− 0.721*** (− 5.781) |
− 0.661*** (− 4.353) |
− 0.813*** (− 5.545) |
− 0.902*** (− 9.297) |
| Industry_42 |
− 1.004*** (− 9.224) |
− 0.983*** (− 6.952) |
− 0.809*** (− 9.501) |
− 0.959*** (− 9.429) |
− 0.876*** (− 7.066) |
− 0.957*** (− 7.995) |
0.350*** (3.414) |
| Industry_43 |
0.328*** (2.859) |
0.299** (2.013) |
0.274*** (3.543) |
0.333*** (3.107) |
0.391*** (2.998) |
0.348*** (2.766) |
0.306*** (3.628) |
| Industry_46 |
0.453*** (2.908) |
− 0.928*** (− 2.988) |
− 0.565*** (− 2.899) |
− 0.894*** (− 4.001) |
− 0.820*** (− 3.013) |
− 0.882*** (− 3.356) |
− 0.554*** (− 2.651) |
| Industry_47 |
0.555*** (3.133) |
0.557** (2.419) |
0.486*** (4.178) |
0.534*** (3.224) |
0.556*** (2.755) |
0.625** (3.208) |
0.559*** (4.365) |
| Industry_50 |
0.565** (2.365) |
0.572* (1.844) |
0.503*** (2.817) |
0.593*** (2.658) |
0.603** (2.216) |
0.271* (1.647) |
0.535*** (2.721) |
| Industry_51 |
0.691*** (8.408) |
0.666*** (6.239) |
0.667*** (11.864) |
0.592*** (7.709) |
0.564*** (6.027) |
0.741*** (8.202) |
0.732*** (11.871) |
| Industry_52 |
0.842*** (6.559) |
0.827*** (4.957) |
0.608*** (7.442) |
0.592*** (7.709) |
0.675*** (4.612) |
0.889*** (6.299) |
0.656*** (7.231) |
| Industry_53 |
− 0.523*** (− 3.899) |
− 0.536** (− 3.077) |
− 0.509*** (− 4.790) |
− 0.348*** (− 2.773) |
− 0.279* (− 1.827) |
− 0.456*** (− 3.093) |
− 0.443*** (− 3.754) |
| Industry_54 |
− 0.499*** (− 2.976) |
− 0.476** (− 2.184) |
− 0.384*** (− 2.764) |
− 0.485*** (− 3.391) |
− 0.416** (− 2.175) |
− 0.524*** (− 2.839) |
− 0.378** (− 2.484) |
| Industry_55 |
0.591*** (4.102) |
0.574*** (3.065) |
0.619*** (6.328) |
0.519*** (3.859) |
0.483*** (2.947) |
0.668*** (4.219) |
0.702*** (6.531) |
| Industry_56 |
0.600*** (6.219) |
0.584*** (4.660) |
0.476*** (7.112) |
0.551*** (6.103) |
0.593*** (5.394) |
0.609*** (5.742) |
0.488*** (6.581) |
| Industry_58 |
− 0.576*** (− 3.174) |
− 0.561** (− 3.067) |
− 0.541*** (− 3.630) |
− 0.376* (− 1.819) |
− 0.558*** (− 2.799) |
− 0.539*** (− 3.269) |
|
| Industry_60 |
− 0.418** (− 2.089) |
− 0.440*** (− 2.861) |
− 0.355* (− 1.895) |
− 0.480** (− 2.181) |
− 0.506*** (− 2.969) |
||
| Industry_61 |
− 0.615*** (− 4.132) |
− 0.593*** (− 3.067) |
− 0.620*** (− 5.955) |
− 0.637*** (− 4.581) |
− 0.563*** (− 3.323) |
− 0.591*** (− 3.610) |
− 0.608*** (− 5.421) |
| Industry_62 |
− 1.005*** (− 6.354) |
− 0.993*** (− 4.831) |
− 1.157*** (− 11.701) |
− 0.923*** (− 6.246) |
− 0.817*** (− 4.534) |
− 0.359*** (− 3.052) |
− 1.162*** (− 10.533) |
| Industry_63 |
− 0.353*** (− 3.298) |
− 0.336** (− 2.419) |
− 0.371*** (− 4.764) |
− 0.298*** (− 2.983) |
− 0.239* (− 1.958) |
− 0.359*** (− 3.052) |
− 0.359*** (− 4.258) |
| Industry_66 |
− 1.123*** (− 8.421) |
− 1.134*** (− 6.540) |
− 0.982*** (− 9.668) |
− 1.065*** (− 8.541) |
− 0.993*** (− 6.534) |
− 1.119*** (− 7.636) |
|
| AR(1) |
0.047*** (10.629) |
0.058*** (13.317) |
|||||
| Random effect (cross) | Yes | ||||||
| Adjusted R2 | 0.116 | 0.099 | 0.173 | 0.128 | 0.101 | 0.103 | 0.156 |
The values of the constant terms are not reported. t statistics in parentheses. For industrial variables, only those who are statistically significant are reported in the table
***p ≤ 0.01, **0.01 < p < 0.05, *0.05 < p < 0.1