Table 2.

Stationarity test results.

Variable	LLC test			ADF test
	$t$ statistic	$p$		chi-square statistic	$p$
Contagion	−25.515	0.000		288.967	0.000
Country attention	−28.076	0.000		609.888	0.000
Local attention	27.466	0.000		975.367	0.000
Global attention	−140.000	0.000		71.479	0.038
Sentiment	−140.000	0.000		198.105	0.000
Fear	−120.000	0.000		343.867	0.000

Notes: This table reports the stationarity test results of the data used in the regression analysis for the full sample during the whole COVID-19 period. The regression equation is expressed as: $Contagio{n}_{i,t}=Constant+\beta Contagio{n}_{i,t-1}+\gamma Behavio{r}_{i,t}+{\mu }_i+{\mu }_t+{\varepsilon }_{i,t}$, where $Contagio{n}_{i,t}$ refers the pandemic-driven contagion of country $i$ at time $t$ and is defined as the sum of the tail dependence between country $i$ and its contagious countries. $Behavio{r}_{i,t}$ corresponds to the proxy variables of investor behavior including investor attention (country attention, local attention, and global attention), investor sentiment, and investor fear. ${\mu }_i$ and ${\mu }_t$ are country and daily fixed effects, respectively. LLC and ADF refer to Levin–Lin–Chu unit-root test and Fisher-type unit-root test based on augmented Dickey–Fuller, respectively.