. 2022 Jun 10;62:100757. doi: 10.1016/j.finmar.2022.100757

Table 1.

Descriptive statistics.

Panel A of this table displays the descriptive statistics of the explanatory variables in our analysis. $M k N e w s_{t}$ ( $F m N e w s_{i, t}$ ) is the daily measure of market-wide (firm-specific) news calculated by averaging all non-neutral macro (firm-specific) news events released, and $S u m M k N e w s_{t}$ ( $S u m F m N e w s_{i, t}$ ) is the alternative daily measure of market-wide (firm-specific) news calculated by summing all non-neutral news events. $d S p r e a d_{t}$ is the detrended daily spread of COVID-19 infection after the outbreak. Panel B reports the descriptive statistics of the dependent variables. $R e t u r n_{i, t}$ , $I n f o F l o w_{i, t}$ , $E f f i c i e n c y_{i, t}$ , and $I m b a l_{i, t}$ are the daily measures of stock close-to-close returns, information flow to the stock, stock price efficiency, and stock imbalanced trading, respectively. Panel C reports the descriptive statistics of control variables, including change in the market volatility index $Δ V I X_{t}$ , stock market capitalization in trillions $C a p i t_{i, t}$ , Amihud's (2002) stock illiquidity ratio $I l l i q_{i, t}$ , and stock realized volatility of 1-min returns $V o l a t_{i, t}$ . Panel D reports the correlations of all variables. The sample period is from January 2019 to December 2020 except for $d S p r e a d_{t}$ , which is based on the period from February 29 to December 31, 2020.

Panel A: Descriptive statistics of the explanatory variables
	$M k N e w s_{t}$	$F m N e w s_{i, t}$	$S u m M k N e w s_{t}$	$S u m F m N e w s_{i, t}$	$d S p r e a d_{t}$
Mean	−0.038	0.043	−0.215	0.271	1688.268
Median	−0.029	0.046	−0.170	0.290	1183.500
Max	0.900	0.950	9.530	8.860	47,581.000
Min	−0.780	−1.000	−7.760	−8.020	−48451.000
Std. Dev.	0.185	0.235	1.148	1.463	9240.810
Panel B: Descriptive statistics of the dependent variables
	$R e t u r n_{i, t}$	$I n f o F l o w_{i, t}$	$E f f i c i e n c y_{i, t}$	$I m b a l_{i, t}$
Mean	0.000	0.003	−0.003	0.005
Median	0.000	0.002	−0.003	0.004
Max	0.109	0.038	0.000	0.267
Min	−0.219	0.000	−0.011	−0.105
Std. Dev.	0.013	0.003	0.002	0.016
Panel C: Descriptive statistics of the control variables
	$Δ V I X_{t}$	$C a p i t_{i, t}$	$I l l i q_{i, t}$	$V o l a t_{i, t}$
Mean	−0.005	0.016	1.055	0.088
Median	−0.170	0.003	0.809	0.046
Max	24.860	0.390	30.712	2.107
Min	−17.640	0.000	0.000	0.003
Std. Dev.	2.740	0.045	1.680	0.174

Panel D: Correlations of all variables
	$F m N e w s_{i, t}$	$S u m M k N e w s_{t}$	$S u m F m N e w s_{i, t}$	$d S p r e a d_{t}$	$R e t u r n_{i, t}$	$I n f o F l o w_{i, t}$	$E f f i c i e n c y_{i, t}$	$I m b a l_{i, t}$	$Δ V I X_{t}$	$C a p i t_{i, t}$	$I l l i q_{i, t}$	$V o l a t_{i, t}$
$M k N e w s_{t}$	0.034	0.827	0.040	0.059	0.387	0.027	0.019	0.236	−0.064	0.012	0.026	0.037
$F m N e w s_{i, t}$		0.038	0.845	0.049	0.410	0.032	0.022	0.285	−0.055	0.008	0.052	0.085
$S u m M k N e w s_{t}$			0.050	0.066	0.399	0.031	0.023	0.259	−0.059	0.010	0.030	0.041
$S u m F m N e w s_{i, t}$				0.055	0.422	0.036	0.026	0.301	−0.048	0.009	0.058	0.092
$d S p r e a d_{t}$					−0.360	0.160	0.127	−0.158	0.102	0.002	0.007	0.128
$R e t u r n_{i, t}$						0.057	0.043	0.144	−0.173	0.024	−0.044	−0.069
$I n f o F l o w_{i, t}$							0.468	0.025	0.056	−0.097	0.113	0.217
$E f f i c i e n c y_{i, t}$								0.018	0.012	−0.125	0.154	0.163
$I m b a l_{i, t}$									−0.036	−0.033	0.039	−0.022
$Δ V I X_{t}$										−0.008	0.083	0.131
$C a p i t_{i, t}$											−0.263	−0.205
$I l l i q_{i, t}$												0.326