Table 2.
Variables and definitions The table displays the detailed definition of the variables used in this study.
| Variable | Definition |
|---|---|
| VOL | daily stock return volatility for country i at time t. Measured as the unconditional variance of the GJR-GARCH (1,1) model. |
| CC | confirmed cases rate measured as the number of confirmed cases for country i at time t divided by the cumulative number of confirmed for country i at time t. |
| DR | death rate measured as the number of deaths for country i at time t divided by the cumulative number of confirmed cases for country i at time t. |
| RR | recovery rate number of recoveries for country i at time t divided by the cumulative number of confirmed cases for country i at time t. |
| GSI | change in the overall government Stringency Response Index for country i between time t and time t-1. |
| SI1 | level of restrictions on school closures for country i at time t. |
| SI2 | level of restrictions on workplaces closures for country i at time t. |
| SI3 | level of restrictions on public events for country i at time t. |
| SI4 | level of restrictions on cut-off size of public gathering for country i at time t. |
| SI5 | level of restriction on public transport closures for country i at time t. |
| SI6 | level of restrictions on "stay-at-home" requirements for country i at time t. |
| SI7 | level of restriction on internal travel between regions/cities for country i at time t. |
| SI8 | level of restrictions on international travel for country i at time t. |
| SI9 | level of public information campaigns for country i at time t. |
| Ln(MV) | the natural logarithm of the total market capitalization in USD for country i at time t. |
| Ln(PE) | the natural logarithm of the market-wide Price to Earnings ratio for country i at time t. |
| DY | the market-wide Dividend yield for country i at time t. |
| ER | The daily percentage change in the exchange rate for country i at time t. |
| PfizerAnn | is a dummy variable that takes 1 on the day Pfizer-BioNTech announced the development of a COVID-19 vaccination which is 90 per cent effective in stopping the virus and 0 otherwise. |
| PfizerVAC | is a dummy variable that takes 1 on the day Pfizer-BioNTech administered the first COVID-19 vaccine and 0 otherwise. |
| USelec | is a dummy variable that takes 1 on the United States 2020 election day and 0 otherwise. |
| ShortSban | is a dummy variable that takes 1 on the day(s) short-selling transactions were banned in country i and 0 otherwise. |