Table 2.

COVID-19 sentiments and stock returns.

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
GSVI_Covid	−0.00828***	−0.00873***	−0.0155***	−0.0123**		−0.00256	−0.00704*	−0.00683
	(0.00221)	(0.00234)	(0.00354)	(0.00472)		(0.00361)	(0.00363)	(0.00483)
Past Returns		−5.261**	−7.986***	−8.893**	−1.952	−12.58***	−8.720**	−3.530
		(2.561)	(2.667)	(3.482)	(3.139)	(3.184)	(3.408)	(3.077)
GSVI_Index				−0.0165***		−0.0107***	−0.00889***	−0.00747*
				(0.00426)		(0.00349)	(0.00244)	(0.00377)
D.GSVI_Covid					−0.0747***
					(0.0149)
D.GSVI_Index					−0.00858**
					(0.00400)
GSVI_Covid* Pandemic declared week						−0.0353***
						(0.00709)
Pandemic declared week						−1.216**
						(0.485)
GSVI_Covid* Advanced countries							−0.0128***
							(0.00469)
Advanced countries							0.568***
							(0.165)
D.Stringency Index								−0.0191
								(0.0259)
Constant	−0.0288	−0.0299	−0.897***	−0.598*	−0.931***	−0.770**	−0.877***	−0.867***
	(0.0784)	(0.0828)	(0.219)	(0.346)	(0.308)	(0.342)	(0.330)	(0.293)
Day of the week dummies	No	No	Yes	Yes	Yes	Yes	Yes	Yes
Month dummies	No	No	Yes	Yes	Yes	Yes	Yes	Yes
Observations	3552	3552	3552	2644	2065	2644	2644	2021
R-squared	0.005	0.008	0.092	0.099	0.092	0.162	0.100	054

Note: This table presents the relationship between Google Search Volume of COVID-19 (GSVI_Covid) and daily market returns. GSVI_Index is the search volume of market indies. Higher value of Stringency Index indicates higher restrictions. Robust standard errors in parentheses. *** p < 0.01, ** p < 0.05, * p < 0.1.