Table 3.

Stringency Index and Volatility Regressions.

	STRINGENCY					ECONOMIC					HEALTH
	Ln_Volatility					Ln_Volatility					Ln_Volatility
Model	[1]	[2]	[3]	[4]	[5]	[1]	[2]	[3]	[4]	[5]	[1]	[2]	[3]	[4]	[5]
Ln(INV)	0.171***	0.158***	0.151***	0.198***	0.144***	0.226***	0.276***	0.266***	0.254***	0.176***	0.170***	0.159***	0.152***	0.193***	0.134***
	(21.861)	(21.825)	(22.287)	(17.577)	(8.879)	(22.248)	(25.826)	(26.292)	(20.568)	(14.507)	(21.929)	(22.248)	(22.776)	(17.672)	(9.649)
EM × Ln(INV)				-0.089***	-0.113***				-0.005	0.026				-0.083***	-0.109***
				(-6.495)	(-8.141)				(-0.176)	(1.121)				(-6.222)	(-8.199)
EM				0.361***	0.364***				0.395***	0.289***				0.356***	0.360***
				(6.877)	(6.917)				(7.896)	(5.735)				(6.758)	(6.829)
Ln(Cases)					0.036***					0.046***					0.039***
					(4.912)					(13.586)					(6.893)
Amihud_M			-0.062***	-0.066***	-0.066***			-0.062***	-0.067***	-0.067***			-0.061***	-0.065***	-0.066***
			(-7.573)	(-7.638)	(-7.711)			(-7.694)	(-7.851)	(-7.850)			(-7.557)	(-7.654)	(-7.736)
Nasdaq			0.273***	0.313***	0.316***			0.265***	0.310***	0.316***			0.273***	0.313***	0.316***
			(4.125)	(4.575)	(4.595)			(3.996)	(4.321)	(4.501)			(4.116)	(4.532)	(4.569)
Ln(Price)			-0.236***	-0.231***	-0.233***			-0.231***	-0.219***	-0.224***			-0.238***	-0.232***	-0.234***
			(-11.125)	(-9.684)	(-9.778)			(-10.805)	(-9.166)	(-9.390)			(-11.190)	(-9.724)	(-9.802)
Ln(Size)			-0.015	-0.032**	-0.031**			-0.019	-0.039***	-0.035***			-0.015	-0.032**	-0.032**
			(-1.218)	(-2.476)	(-2.422)			(-1.514)	(-2.994)	(-2.697)			(-1.195)	(-2.498)	(-2.438)
Turnover			0.144*	0.153*	0.154*			0.143*	0.150*	0.151*			0.144*	0.154*	0.155*
			(1.966)	(1.943)	(1.939)			(1.859)	(1.823)	(1.871)			(1.963)	(1.942)	(1.939)
ΔS&P500			-1.697***	-1.746***	-1.744***			-2.821***	-2.804***	-2.233***			-1.679***	-1.732***	-1.723***
			(-16.159)	(-16.534)	(-16.558)			(-22.000)	(-22.095)	(-18.293)			(-16.141)	(-16.497)	(-16.351)
C	-3.682***	-4.167***	-3.618***	-2.779***	-2.728***	-3.502***	-4.014***	-3.403***	-2.625***	-2.608***	-3.689***	-4.177***	-3.631***	-2.758***	-2.713***
		(-48.523)	(-16.516)	(-12.140)	(-11.836)	(-101.50)	(-47.070)	(-15.398)	(-11.469)	(-11.312)	(-97.698)	(-48.660)	(-16.587)	(-11.979)	(-11.727)
Country FE	No	Yes	Yes	No	No	No	Yes	Yes	No	No	No	Yes	Yes	No	No
Industry FE	No	Yes	Yes	Yes	Yes	No	Yes	Yes	Yes	Yes	No	Yes	Yes	Yes	Yes
Robust SE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
N	46,376	45,915	45,542	45,542	45,542	46,358	45,897	45,524	45,524	45,524	46,376	45,915	45,542	45,542	45,542
RSQ	0.011	0.324	0.727	0.700	0.701	0.004	0.325	0.727	0.701	0.702	0.010	0.324	0.727	0.700	0.701

This table provides the results from the variations in the estimation of the following OLS regression specification.

$Ln\_Volatilit{y}_{it}={\beta }_o+{\beta }_1{\left(Ln\_INV\right)}_{it}+{\beta }_2{\left(EM\times Ln\_INV\right)}_{it}+{\beta }_3{\left(EM\right)}_{it}+{\beta }_4{\left(Ln\_CASES\right)}_{it}+{\beta }_5{\left(Amihud\_M\right)}_{it}+{\beta }_6{\left(NASDAQ\right)}_{it}+{\beta }_7{\left(Ln\_Price\right)}_{it}+{\beta }_8{\left(Ln\_Size\right)}_{it}+{\beta }_9{\left(Turnover\right)}_{it}+{\beta }_{10}{\left(\Delta S\&P500\right)}_{it}+{\epsilon }_{it}.$

The dependent variable is Ln_Volatility which is the natural log of Range_Volatility. The main independent variable of interest is Ln_INV, which refers to the natural log of the Oxford Stringency, Economic Support and Containment_Health Indexes, respectively. For remaining variable definitions please refer to Table 1. Robust T-stats corresponding to standard errors clustered at the ADR level are reported in parenthesis. ***, **, and * reflect statistical significance at 0.01, 0.05, and 0.10 levels, respectively.