Table 3.

The influence of investor behavior on pandemic-driven contagion.

Dep. Variable	Contagion${}_t$
Variable	Model (1)	Model (2)	Model (3)	Model (4)	Model (5)
Constant	0.221${}^{\ast \ast \ast }$	0.215${}^{\ast \ast \ast }$	0.288${}^{\ast \ast \ast }$	0.218${}^{\ast \ast \ast }$	0.862${}^{\ast \ast \ast }$
	(29.29)	(28.86)	(34.02)	(29.16)	(44.45)
Contagion${}_{t-1}$	0.920${}^{\ast \ast \ast }$	0.922${}^{\ast \ast \ast }$	0.895${}^{\ast \ast \ast }$	0.921${}^{\ast \ast \ast }$	0.738${}^{\ast \ast \ast }$
	(334.76)	(338.34)	(289.16)	(337.02)	(129.12)
Country attention${}_t$	−0.011${}^{\ast \ast \ast }$
	(−5.35)
Local attention${}_t$		−0.005${}^{\ast \ast }$
		(−1.99)
Global attention${}_t$			−0.018${}^{\ast \ast \ast }$
			(−17.78)
Sentiment${}_t$				−0.005${}^{\ast \ast \ast }$
				(−5.02)
Fear${}_t$					−0.001${}^{\ast \ast \ast }$
					(−8.61)
Obs.	20 280	20 280	20 280	20 280
Adj R-squared	0.850	0.850	0.852	0.850	0.559

Notes: This table reports the results of the following regression for the full sample: $Contagio{n}_{i,t}=Constant+\beta Contagio{n}_{i,t-1}+\gamma Behavio{r}_{i,t}+{\mu }_i+{\mu }_t+{\varepsilon }_{i,t}$, 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. $t$-statistic is reported in parentheses. ${}^{\ast \ast \ast }$ and ${}^{\ast \ast }$ indicate significance at the 1% and 5% levels, respectively. Country and daily fixed effects are included in the regression. The sample period for investor attention and sentiment is from January 1, 2019, to March 27, 2022, while for investor fear is from January 13, 2020 to March 27, 2022.