Table 3.

Results based on factor model.

		Dow Jones		NASDAQ		S&P 500		Wilshire 5k
		F. Loading	St. Er	F. Loading	St. Er	F. Loading	St. Er	F. Loading	St. Er
Full sample	$\alpha$	−0.81**	0.31	−0.54**	0.14	−0.35**	0.08	0.65**	0.22
	$\beta$	0.15**	0.06	0.46**	0.16	−0.05**	0.02	−0.92*	0.46
	$\gamma$	−0.11**	0.05	−0.32**	0.09	−0.24**	0.05	−0.21**	0.04
Wave-01	$\alpha$	−0.24**	0.05	−0.01*	0.00	−0.19*	0.10	−0.31*	0.10
	$\beta$	−0.42*	0.21	0.35**	0.15	0.12**	0.04	0.57	1.14
	$\gamma$	−0.61	1.02	−0.41**	0.16	−0.54*	0.27	−0.79**	0.15
Wave-02	$\alpha$	0.01**	0.00	0.06**	0.01	0.19*	0.10	0.22	0.49
	$\beta$	−0.03**	0.01	−0.04	0.03	−0.01*	0.01	0.17*	0.09
	$\gamma$	0.12*	0.06	0.35	0.27	0.45*	0.22	0.61**	0.11
Wave-03	$\alpha$	0.54**	0.15	0.21**	0.04	0.45**	0.12	0.35**	0.08
	$\beta$	−0.65*	0.32	−0.22*	0.11	−0.06**	0.02	−0.31	0.54
	$\gamma$	0.87**	0.32	0.57*	0.29	0.97**	0.18	0.69**	0.10

¹$\alpha$, $\beta$ - Surge, Plunge in COVID19 infection rate respectively and $\gamma$ - Factors other than COVID19.

²F. Loading - Factor loadings. St. Er. - Standard Error.

³Level of significance: * represents 5%; ** represent 10%.

⁴Wave01: January 01, 2020 to June 12, 2020. Wave02: June 15, 2020 to September 04, 2020. Wave03: September 7, 2020 to May 06, 2021.

⁵Author’s calculations - Source: Thompson Reuters.