Table 1.
List of variables and their definitions.
| Variables | Definitions of the variables | Sources |
|---|---|---|
| Variables related to COVID-19 | ||
| CTC | Growth in total COVID-19 cases in the world | The World Health Organization, and ourworldindata.org |
| CTD | Growth in total COVID-19 deaths in the world | |
| CSC | Growth in total COVID-19 cases of each country in our sample | |
| CSD | Growth in COVID-19 deaths of each country in our sample | |
| Variables related to the capital market | ||
| RET | Log return of the broad stock market index from each country in our sample | Datastream |
| RME | Log return on MSCI Emerging Market index | |
| RMW | Log return of MSCI world index | |
| RVX | Log returns of CBOE VIX volatility index | |
| LVO | Log of total trading volume of each market index in our sample | |
| LVX | Log of CBOE VIX volatility index | |
| LDX | Log of the broad stock market index of each country in our sample | |
| LGX | GDP adjusted market Index | |
| Variables related to measures of country-level resilience | ||
| RES | Overall Resilience score. The score shows the strength and vulnerability in a country’s resilience, both broadly across factors (i.e., economic, risk quality or supply chain), and more precisely across the 12 different drivers. The score offers the opportunity to the government (managers) seeking to improve their country’s (company’s) resilience to disruptive events. The drivers included in this score are: (i) within Economic factors - productivity, political risk, oil intensity, and urbanisation rate; (ii) within Risk Quality factors – exposure to natural hazards, natural hazard risk quality, fire risk quality, and inherent cyber risk; and (iii) within Supply Chain factors – control of corruption, quality of infrastructure, corporate governance and supply chain visibility. The overall resilience score is an equally weighted composite measure of these three factors, where each factor is constructed using an equally weighted mean of four different drivers within each group. Therefore, in combination with additional information, this score provides business executives, investors, and government with a source of guidance on enterprise (country-level) risk when making decisions such as risk improvement priorities, sourcing suppliers, the destination of physical investment, and strength of the country (company) to withstand surprise events. | The FM Global |
| COG | Corporate governance score. Governance consists of the traditions and institution by which authority in a county is exercised. This includes the process by which governments are selected, monitored and replaced; the capacity of the government to effectively formulate and implement sound policies; and the respect of citizens and the state for the institutions that govern economic and social interactions among them. The score also shows the strength of auditing and accounting standards, conflicts of interest regulation and shareholder governance within a country. | World Economic Forum and the FM Global |
| CPS | Capitalism score. Capitalism is an ideology where the means of production is controlled by private business. This means that individual citizens run the economy without the government interfering in production and pricing. Instead, pricing is set by the free market. The score is based on aggregate Economic Freedom Scores from twelve quantitative and qualitative factors, grouped into four broad pillars (Rule of Law, Government Size, Regulatory Efficiency and Open Markets). | The Heritage Foundation and the World Population Review |
| INQ | Quality of infrastructure score. The quality and extent of transport infrastructure (road, rail, water and air) and utility infrastructure. Extensive and efficient infrastructure is critical for ensuring the effective functioning of the economy. Effective modes of transport enable entrepreneurs to get their goods and services to market in a secure and timely manner and facilitate the movement of workers to the most suitable jobs. Similarly, economic efficiency also depends on uninterrupted electricity supplies and an extensive telecommunications network. | The World Economic Forum and the FM Global |
| OIN | Oil intensity score. The score represents the vulnerability to an oil shock (shortage, disruption, price hike). The score is estimated by dividing oil consumption by GDP. Thus it measures dependency on oil for production. | The FM Global (US Energy Information Administration) |
| PRO | Productivity score. The score represents gross domestic product based on purchasing power parity, divided by the total population. | International Monetary Fund and the FM Global |
| HEL | Health pillar. The pillar measures the extent to which people are healthy and have access to the necessary services to maintain good health, including health outcomes, healthy systems, illness and risk factors, and mortality rates. | The Legatum Institute |
| FID | Financial development index. This is an aggregate measure of the development of financial markets and financial institutions of a country. It measures the relative ranking of countries’ financial markets and institutions in terms of their depth (size and liquidity), access (the ability of individuals and companies to access financial services), and efficiency (the ability of institutions to provide financial services at low cost and with sustainable revenues, and the level of activity of the capital market). | International Monetary Funds |
| FII | Financial institutions development index. This is a sub-component of financial development index, which show the development of financial institutions in terms of their depth, access and efficiency. | International Monetary Funds |
| Macroeconomic variables | ||
| LGD | Log of quarterly GDP (in billions of US dollars at current market prices) | Datastream |
| LOP | Log of Oil Price (Crude oil WTI in US dollar per barrel) | Datastream |
| MPR | Policy rate for monetary policy changes | International Monetary Fund |
| Other variables | ||
| EMG | Dummy for emerging markets. We use 1 for emerging markets and 0 for developed markets. | |
| MON | Monday dummy. We use 1 for Monday and 0 for other days of the week. | |
Note: This table shows the variables we apply in our empirical models to investigate the connectedness between the stock market and country-level resilience. These variables are collected from various sources, which include – Thomson Reuters Datastream, World Bank, World Economic Forum, International Monetary Fund, https://ourworldindata.org/., Legatum Institute, World Health Organization, The Heritage Foundation and The World Population Review.