TABLE 3.

Lon‐run and short‐run ARDL model results (Model 1: Without specific COVID‐19 effect)

	Unnormalized long‐run			Normalized long‐run			Short‐run
	(1)	(2)	(3)	(1)	(2)	(3)		(1)	(2)	(3)
	S&P500	Dow Jones	Nasdaq‐100	S&P500	Dow Jones	Nasdaq‐100		S&P 500	Dow Jones	Nasdaq‐100
${\mathit{SR}}_{t-1}$	0.85*** (0.00)	0.85*** (0.00)	0.87*** (0.00)	—	—	—	$∆{\mathit{SR}}_{t-1}$	−0.12*** (0.00)	−0.13*** (0.00)	−0.11*** (0.00)
${\mathit{SR}}_{t-2}$	0.19*** (0.00)	0.22*** (0.00)	0.16*** (0.00)	—	—	—	$∆{\mathit{SR}}_{t-2}$	0.07*** (0.00)	0.09*** (0.00)	0.05*** (0.00)
${\mathit{SR}}_{t-3}$	−0.07*** (0.00)	−0.07*** (0.00)	−0.05*** (0.00)	—	—	—	$∆{\mathit{SR}}_{t-3}$	—	0.01*** (0.00)	—
${\mathit{SR}}_{t-4}$	—	−0.01 (0.30)	—	—	—	—	$∆{\mathit{SR}}_{t-4}$	—	—	—
${\mathit{\text{PIEPU}}}_t$	0.007 (0.44)	0.007 (0.47)	0.0001 (0.31)	−0.018* (0.07)	−0.026***(0.00)	−0.013 (0.19)	$∆{\mathit{\text{PIEPU}}}_t$	0.007 (0.41)	0.007 (0.45)	0.0001 (0.28)
${\mathit{\text{PIEPU}}}_{t-1}$	−0.008 (0.43)	−0.008 (0.40)	−0.009 (0.41)	—	—	—	$∆{\mathit{\text{PIEPU}}}_{t-1}$	0.0002** (0.02)	0.004*** (0.00)	0.0002* (0.06)
${\mathit{\text{PIEPU}}}_{t-2}$	−0.004 (0.68)	−0.006 (0.49)	−0.006 (0.57)	—	—	—	$∆{\mathit{\text{PIEPU}}}_{t-2}$	0.002** (0.03)	0.003*** (0.00)	0.0001 (0.13)
${\mathit{\text{PIEPU}}}_{t-3}$	−0.0002**(0.04)	−0.0002**(0.03)	−0.0001 (0.15)	—	—	—	$∆{\mathit{\text{PIEPU}}}_{t-3}$		0.0001 (0.20)	‐
${\mathit{\text{PIEPU}}}_{t-4}$	—	−0.0001 (0.22)	—	—	—	—	${\mathit{ECT}}_{t-1}$	−0.01*** (0.00)	−0.01*** (0.00)	−0.01*** (0.000)
$\mathit{\text{Constant}}$	0.09*** (0.00)	0.14*** (0.00)	0.11*** (0.00)	6.94*** (0.00)	9.18*** (0.00)	7.59*** (0.00)	$\mathit{\text{Constant}}$	0.09*** (0.00)	0.14*** (0.00)	0.11*** (0.00)
$R^2$	0.99	0.99	0.99	0.99	0.99	0.99	$R^2$	0.33	0.38	0.26
${\overline{R}}^2$	0.99	0.99	0.99	0.99	0.99	0.99	${\overline{R}}^2$	0.30	0.35	0.23
$F$	359509.2 (0.00)	270077.8 (0.00)	508615.1 (0.00)	35950.2 (0.00)	27077.8 (0.00)	508615.1 (0.00)	$F$	14.01 (0.00)	12.80 (0.00)	11.00 (0.00)
$\mathit{DW}$	2.00	1.99	1.99	2.00	1.99	1.99	$\mathit{DW}$	2.00	1.99	1.99
${\chi }_{\mathit{BG}}^2$	0.57 (0.75)	0.75 (0.69)	0.07 (0.96)	0.57 (0.75)	0.75 (0.69)	0.07 (0.96)	${\chi }_{\mathit{BG}}^2$	0.57 (0.75)	0.75 (0.69)	0.07 (0.96)

Note: p‐values are in the parenthesis. *, **, and *** denote significances at 10%, 5%, and 1% levels.