Table 3.

Panel estimate of abnormal returns after the H1N1 announcement.

VARIABLES	(1) Brazil	(2) Russia	(3) India	(4) China
$R_{t-1}$	−0.0072	−0.0291	−0.0016	0.1052
	(−0.1363)	(−0.2758)	(−0.0202)	(1.0088)
$R{M}_t$	0.8562***	0.6574**	0.3819**	0.3533**
	(8.6310)	(2.2289)	(2.0816)	(2.2692)
$ln(VI{X}_t/VI{X}_{t-1})$	−0.0170	−0.0235	−0.0203	0.1181*
	(−0.4665)	(−0.2099)	(−0.2185)	(1.9082)
$E_{-10}$	0.7720***	−0.0354	0.3935	−1.0417***
	(3.8482)	(−0.0749)	(0.6555)	(−2.7008)
$E_{-9}$	−1.2598***	2.7807***	1.4471*	0.7127*
	(−4.2125)	(3.7420)	(1.7107)	(1.7458)
$E_{-8}$	0.0132	5.1404***	0.5088	1.2946**
	(0.0306)	(4.0070)	(0.5811)	(2.0213)
$E_{-7}$	−1.3353***	−1.1517	−0.6054	−0.0178
	(−7.7474)	(−1.4192)	(−1.4894)	(−0.0512)
$E_{-6}$	−2.6143***	−7.2522***	0.3395	1.6228***
	(−11.3538)	(−11.5044)	(0.8699)	(4.8765)
$E_{-5}$	1.2956***	−0.5835	0.0279	−0.5181
	(4.6991)	(−0.6266)	(0.0691)	(−1.5481)
$E_{-4}$	−0.2914	1.7395***	−0.0313	−0.7456**
	(−1.5792)	(3.8542)	(−0.0782)	(−2.2973)
$E_{-3}$	0.3703**	−2.5111***	−3.8355***	−0.8910***
	(2.2301)	(−5.4316)	(−12.3966)	(−2.8453)
$E_{-2}$	−1.5329***	−1.5711**	2.0496***	1.3318***
	(−7.7166)	(−2.5467)	(3.8272)	(3.1536)
$E_{-1}$	0.5167***	1.4769***	2.0150***	0.2534
	(2.8489)	(3.3499)	(5.0905)	(0.9334)
$E_0$	−0.6451***	−0.4685	−1.0340***	−1.6830***
	(−3.8503)	(−1.1440)	(−2.3585)	(−6.1892)
$E_{+1}$	−0.9351***	−4.2288***	−1.6309***	−2.0166***
	(−3.2782)	(−4.5816)	(−5.3138)	(−5.9642)
$E_{+2}$	−0.6920**	2.2214**	−1.4945**	1.8453***
	(−2.1008)	(2.4156)	(−2.2209)	(3.2379)
$E_{+3}$	−0.5300**	−6.0817****	0.9538*	−0.6360*
	(−2.4844)	(−11.1071)	(1.7736)	(−1.6977)
$E_{+4}$	−1.3469***	−3.2058***	−4.0638***	2.2567***
	(−7.3314)	(−4.0869)	(−8.2075)	(6.0131)
$E_{+5}$	0.2696	−1.2491	−3.2616***	0.6384
	(1.0815)	(−1.6189)	(−6.7214)	(1.6216)
$E_{+6}$	−1.1390***	−6.4357***	0.7848	1.0131**
	(−3.6996)	(−6.2636)	(1.1626)	(2.0387)
$E_{+7}$	0.1224	−3.1230***	−0.8274	−1.1302**
	(0.4411)	(−3.1894)	(−1.1638)	(−2.1652)
$E_{+8}$	−1.1885***	5.9099***	−0.2548	−0.8025**
	(−6.2668)	(10.3719)	(−0.7491)	(−2.5221)
$E_{+9}$	1.3956***	−4.3147***	0.3219	2.3003***
	(5.3175)	(−4.4149)	(0.5915)	(5.7605)
$E_{+10}$	−0.1950	−0.6452	−2.6054***	−0.2163
	(−0.9090)	(−1.2658)	(−3.0839)	(−0.3959)
Constant	0.2635	0.5308	0.4021	0.4122
	(1.6624)	(1.3123)	(1.3091)	(1.4540)
Observations	112	112	112	112
R-squared	0.7642	0.3798	0.2149	0.1073

Note: This table reports the panel estimates for abnormal returns from Eq. (1). The dependent variable ($R_t$) is the stock percentage return of each BRIC country. $R_{t-1}$ is the first lag of the stock return. $R{M}_t$ represents the derived market return of the $S\&P500$ in percentage points. $ln(VI{X}_t/VI{X}_{t-1})$ is the percentage return of the VIX. $E_{\pm S}$, with $S=1,2,4,5,10$, is a binary variable that takes the value 1, individualizing each day of the H1N1 event window. $T$-statistic in parentheses. */**/*** significant at 10%/5%/1%, respectively.