Table 4.
The effect of COVID-19 confirmed cases, death, recovery and the stringency of policy government response on emerging and developed stock markets volatility.
| Market | Emerging Markets | Developed Markets | ||
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| Model Specifications | Fixed Effects | Fixed Effects with SI government intervention indicators | Random Effects | Fixed Effects with SI government intervention Indicators |
| Variables | VOL | VOL | VOL | VOL |
| CC | 0.0030*** | 0.0029*** | 0.0024* | 0.0019* |
| (0.001) | (0.001) | (0.001) | (0.001) | |
| DR | 0.1406*** | 0.1424*** | -0.0235 | -0.0223 |
| (0.032) | (0.032) | (0.039) | (0.039) | |
| RR | -0.0040** | -0.0041** | -0.0023 | -0.0027 |
| (0.002) | (0.002) | (0.004) | (0.004) | |
| GSI | 0.0068*** | -0.0059* | ||
| (0.000) | (0.003) | |||
| SI1 | 0.0509* | -0.0003 | ||
| (0.027) | (0.043) | |||
| SI2 | 0.1204*** | 0.0216 | ||
| (0.033) | (0.055) | |||
| SI3 | -0.1460*** | -0.0951* | ||
| (0.042) | (0.058) | |||
| SI4 | 0.0000 | -0.0840* | ||
| (0.024) | (0.045) | |||
| SI5 | -0.0135 | 0.3506*** | ||
| (0.041) | (0.116) | |||
| SI6 | -0.0135 | -0.0338 | ||
| (0.035) | (0.057) | |||
| SI7 | 0.0971*** | -0.0584 | ||
| (0.037) | (0.060) | |||
| SI8 | 0.0743*** | -0.1251** | ||
| (0.025) | (0.050) | |||
| SI9 | 0.0451 | 0.0933 | ||
| (0.052) | (0.090) | |||
| ln(MV) | 0.0013*** | 0.0013*** | 0.0002 | 0.0022 |
| (0.000) | (0.000) | (0.000) | (0.002) | |
| ln(PE) | -0.0029*** | -0.0029*** | -0.0055*** | -0.0061*** |
| (0.000) | (0.001) | (0.001) | (0.001) | |
| DY | 0.0473*** | 0.0470*** | -0.0530*** | -0.0581*** |
| (0.012) | (0.012) | (0.018) | (0.019) | |
| ER | 0.0118 | 0.0111 | 0.1365*** | 0.1363*** |
| (0.009) | (0.009) | (0.029) | (0.029) | |
| PfizerAnn | 0.0024* | 0.0024* | 0.0047** | 0.0047** |
| (0.001) | (0.001) | (0.002) | (0.002) | |
| PfizerVAC | 0.0017 | 0.0017 | 0.0020 | 0.0020 |
| (0.001) | (0.001) | (0.002) | (0.002) | |
| USelec | 0.0016 | 0.0015 | 0.0007 | 0.0004 |
| (0.001) | (0.001) | (0.002) | (0.002) | |
| ShortSban | 0.0003 | 0.0004 | -0.0013** | -0.0013** |
| (0.000) | (0.000) | (0.001) | (0.001) | |
| Day dummy | Yes | Yes | Yes | Yes |
| Constant | -0.0089* | -0.0088* | 0.0161*** | 0.0522* |
| (0.005) | (0.005) | (0.005) | (0.029) | |
| Observations | 6,504 | 6,504 | 4,065 | 4,065 |
| R2 | 0.4413 | 0.4447 | 0.4796 | 0.4827 |
| Prob > F | 0.0000 | 0.0000 | 0.0000 | |
| Prob > chi2 | 0.0000 | |||
| Hausman test | 36.28*** | 50.01*** | 8.26 | 149.53*** |
| LM test | 593.26*** | |||
The table presents the results of panel data regressions over the period 22/01/2020-10/02/2021. The dependent variable is the GJR-GARCH (1,1) daily conditional volatility (VOL) for emerging and developed stock markets’ indices. The independent variables are the COVID-19 daily new confirmed cases rate (CC), daily death rate (DR), daily recovery rate (RR), COVID-19 Government Response Stringency Index (SI), the natural logarithm of daily total market value in USD (ln(MV)), the natural logarithm of daily market-wide PE ratio (ln(PE)), daily market- wide Dividend yield (DY), daily percentage change in the exchange rate (ER). Pfizer-BioNTech's COVID-19 Vaccine Announcement day (PfizerAnn), Pfizer-BioNTech's COVID-19 Vaccine administered day (PfizerVAC), 2020 US election day (USelec) and short-selling ban (ShortSban) are dummy variables that equals 1 for the event day and 0 otherwise. SI1 to SI9 are the different stringency Index government intervention indicators in country i on day t. Detailed definitions of the variables are given in Table 2. The numbers in the parentheses are the robust standard errors. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively.