Table 1.
Descriptive statistics.
| Country |
Index |
Returns |
Volatility |
GSVI_Covid |
Correlation b/w GSVI_Covid and |
||
|---|---|---|---|---|---|---|---|
| Mean | Mean | Mean | sd | Returns | Volatility | ||
| Argentina | S&P Merval | −0.292 | 0.023 | 26.481 | 27.549 | −0.075 | 0.665 |
| Austria | ATX | −0.448 | 0.017 | 22.131 | 22.534 | −0.292 | 0.819 |
| Australia | S&P/ASX 200 | −0.234 | 0.014 | 27.675 | 26.109 | −0.040 | 0.791 |
| Belgium | BEL 20 | −0.312 | 0.013 | 25.393 | 24.623 | −0.180 | 0.823 |
| Bulgaria | BSE SOFIX | −0.299 | 0.010 | 29.864 | 29.378 | −0.145 | 0.543 |
| Bahrain | Bahrain All Share | −0.243 | 0.004 | 31.395 | 29.269 | −0.124 | 0.249 |
| Brazil | Bovespa | −0.478 | 0.022 | 24.805 | 27.590 | 0.016 | 0.667 |
| Canada | S&P/TSX | −0.176 | 0.011 | 31.964 | 31.635 | −0.049 | 0.853 |
| Switzerland | SMI | −0.129 | 0.012 | 24.675 | 23.453 | −0.152 | 0.883 |
| Chile | S&P CLX IPSA | −0.225 | 0.015 | 22.471 | 23.358 | −0.110 | 0.660 |
| Colombia | COLCAP | −0.461 | 0.015 | 27.805 | 28.470 | −0.012 | 0.501 |
| Cyprus | Cyprus Main Market | −0.464 | 0.013 | 26.987 | 26.306 | −0.302 | 0.656 |
| Czech Republic | PX | −0.304 | 0.012 | 27.226 | 24.460 | −0.268 | 0.837 |
| Germany | DAX | −0.252 | 0.012 | 23.000 | 20.497 | −0.233 | 0.836 |
| Denmark | OMXC20 | 0.033 | 0.011 | 23.313 | 22.853 | −0.274 | 0.615 |
| Egypt | EGX 30 | −0.340 | 0.010 | 24.427 | 28.680 | 0.043 | 0.300 |
| Spain | IBEX 35 | −0.405 | 0.013 | 23.571 | 24.429 | −0.210 | 0.915 |
| Finland | OMX Helsinki 25 | −0.166 | 0.012 | 23.988 | 20.532 | −0.293 | 0.827 |
| France | CAC 40 | −0.336 | 0.012 | 25.750 | 25.049 | −0.128 | 0.877 |
| United Kingdom | FTSE All-Share | −0.313 | 0.013 | 28.202 | 27.798 | −0.093 | 0.825 |
| Greece | Athens General Composite | −0.504 | 0.016 | 29.152 | 27.590 | −0.079 | 0.709 |
| Hungary | Budapest SE | −0.329 | 0.016 | 29.452 | 25.708 | −0.212 | 0.801 |
| Indonesia | IDX Composite | −0.346 | 0.011 | 19.905 | 23.473 | 0.154 | 0.549 |
| Ireland | ISEQ Overall | −0.321 | 0.016 | 30.345 | 28.714 | −0.192 | 0.868 |
| India | BSE Sensex | −0.223 | 0.013 | 27.111 | 31.734 | 0.049 | 0.587 |
| Iceland | ICEX Main | −0.158 | 0.010 | 30.878 | 28.949 | −0.097 | 0.615 |
| Italy | FTSE Italia All Share | −0.355 | 0.014 | 27.810 | 25.631 | −0.313 | 0.719 |
| Jordan | Amman SE General | −0.172 | 0.003 | 9.208 | 13.108 | −0.619 | 0.597 |
| Japan | Nikkei 225 | −0.178 | 0.011 | 29.506 | 23.848 | 0.024 | 0.542 |
| South Korea | KOSPI | −0.136 | 0.012 | 40.354 | 25.048 | −0.061 | 0.524 |
| Kuwait | FTSE Coast Kuwait 40 | −0.348 | 0.010 | 28.212 | 26.270 | 0.019 | 0.293 |
| Lebanon | BLOM Stock | −0.404 | 0.006 | 25.288 | 21.866 | 0.046 | −0.137 |
| Sri Lanka | CSE All-Share | −0.617 | 0.006 | 9.813 | 12.675 | −0.559 | 0.696 |
| Morocco | Moroccan All Shares | −0.298 | 0.007 | 19.942 | 22.423 | −0.091 | 0.288 |
| Malta | MSE | −0.188 | 0.000 | 24.988 | 23.590 | −0.329 | 0.176 |
| Mexico | FTSE BIVA Real Time Price | −0.206 | 0.012 | 24.552 | 25.413 | −0.004 | 0.479 |
| Malaysia | KLCI | −0.154 | 0.007 | 34.188 | 30.592 | 0.023 | 0.588 |
| Namibia | NSX | −0.352 | 0.014 | 34.759 | 32.494 | −0.099 | 0.729 |
| Nigeria | NSE 30 | −0.216 | 0.008 | 25.929 | 29.985 | −0.009 | 0.113 |
| Netherlands | AEX | −0.214 | 0.012 | 26.298 | 23.942 | −0.222 | 0.815 |
| Norway | OSE Benchmark | −0.237 | 0.014 | 22.867 | 21.779 | −0.248 | 0.734 |
| New Zealand | NZX 50 | −0.092 | 0.010 | 23.360 | 24.372 | 0.013 | 0.614 |
| Oman | MSM 30 | −0.147 | 0.004 | 29.262 | 31.391 | 0.021 | 0.191 |
| Peru | S&P Lima General | −0.402 | 0.010 | 28.214 | 28.749 | −0.140 | 0.624 |
| Philippines | PSEi Composite | −0.378 | 0.012 | 30.512 | 29.703 | −0.036 | 0.520 |
| Pakistan | Karachi 100 | −0.231 | 0.013 | 26.000 | 29.642 | 0.007 | 0.485 |
| Poland | WIG20 | −0.352 | 0.014 | 31.470 | 28.169 | −0.081 | 0.807 |
| Portugal | PSI 20 | −0.249 | 0.011 | 23.619 | 25.930 | −0.211 | 0.843 |
| Qatar | QE General | −0.219 | 0.007 | 36.917 | 35.118 | 0.050 | 0.452 |
| Russia | MOEX | −0.184 | 0.013 | 24.061 | 23.925 | 0.116 | 0.490 |
| Sweden | OMXS30 | −0.166 | 0.012 | 27.530 | 22.715 | −0.247 | 0.699 |
| Singapore | STI Index | −0.239 | 0.008 | 40.805 | 27.525 | −0.026 | 0.622 |
| Thailand | SET | −0.245 | 0.011 | 20.595 | 18.357 | −0.016 | 0.564 |
| Turkey | BIST 100 | −0.163 | 0.012 | 27.635 | 24.901 | −0.078 | 0.491 |
| Taiwan | Taiwan Weighted | −0.128 | 0.008 | 26.303 | 20.112 | 0.022 | 0.401 |
| Ukraine | PFTS | −0.024 | 0.000 | 26.506 | 26.684 | −0.328 | 0.033 |
| United States | Dow 30 | −0.208 | 0.013 | 30.663 | 29.642 | −0.053 | 0.837 |
| South Africa | FTSE/JSE Top 40 | −0.127 | 0.013 | 28.301 | 30.028 | 0.061 | 0.344 |
Note: This table provides country-wise descriptive statistics of market returns, volatility, and Google Search Volume Index of keyword coronavirus + covid (GSVI_Covid). The last two columns report the correlation of GSVI_Covid with market returns and volatility.