. 2022 Jun 24;49:103081. doi: 10.1016/j.frl.2022.103081

Table 4.

One week return predictability of returns based on Covid-19 data.

Dependant Variable	$E T H_{[1, 7]}$	$B T C_{[1, 7]}$	$I n d e x_{[1, 7]}$	$E T H_{[1, 7]}$	$B T C_{[1, 7]}$	$I n d e x_{[1, 7]}$
$C a s e s_{[- 7, - 1]} \times P o l i c y_{t}$	27.338^⁎ (15.444)	5.627 (12.574)	22.855^⁎ (13.167)
$D e a t h s_{[- 7, - 1]} \times P o l i c y_{t}$				3.775^⁎ (2.248)	0.460 (1.929)	1.419 (2.143)
$C a s e s_{[- 7, - 1]}$	8.840^⁎⁎ (3.737)	2.467 (2.961)	5.347^⁎ (3.064)
$D e a t h s_{[- 7, - 1]}$				2.656^⁎ (1.398)	1.070 (1.226)	2.136 (1.318)
$P o l i c y_{t}$	23.828^⁎⁎ (12.080)	6.116 (9.872)	19.870^⁎ (10.276)	5.507^⁎⁎ (2.218)	2.124 (1.793)	3.396^⁎ (2.008)
$A b S e a r c h_{t}$	−0.911 (1.082)	−1.098 (1.032)	−0.497 (1.061)	−0.454 (1.117)	−1.004 (1.053)	−0.163 (1.168)
$R e t_{[- 7, - 1]}$	−1.603^⁎⁎ (0.738)	−0.144 (0.730)	−0.805 (0.791)	−1.612^⁎⁎ (0.729)	−0.151 (0.731)	−0.710 (0.843)
$I n t e r c e p t$	8.614^⁎⁎ (1.688)	3.602^⁎⁎ (1.587)	5.982^⁎⁎ (1.388)	3.844^⁎⁎ (0.996)	2.284^⁎⁎ (0.836)	2.434^⁎⁎ (0.813)

Table 4 shows the results of estimation Eq. (1) with the addition of $A b S e a r c h_{t}$ . $A b S e a r c h_{t}$ represents abnormal Google search activity for cryptocurrencies. We estimate the dependent variable, listed in the top row, against the corresponding variables on each row below that. We estimate our regressions using Newey and West (1987) standard errors and control for up to 7 days of lag. Our standard errors are in parentheses.

^**

represent statistical significance at the 5% level.

represent statistical significance at the 10% level.