Table 1 Data description
From: COVID-19 and instability of stock market performance: evidence from the U.S.
Symbol | Variable | Definition | Data availability | Data source |
|---|---|---|---|---|
\({R}_{t}^{S\&P 500}\) | Daily Standard and Poor’s 500 (S&P 500) Stock Index Return | \(log({PI}_{t}^{S\&P500}/{PI}_{t-1}^{S\&P500})\) | 01/01/2019–06/30/2020 | Yahoo Finance |
\({R}_{t}^{DJIA}\) | Daily Dow Jones Industrial Average (DJIA) Stock Index Return | \(log({PI}_{t}^{DJIA}/{PI}_{t-1}^{DJIA})\) | 01/01/2019–06/30/2020 | Yahoo Finance |
\({SI}_{t-1}^{US}\) | Daily Lagged Short Interest Rate | 3-Month Treasury Bill Rate | 01/01/2019–06/30/2020 | Federal Reserve Bank of St. Louis |
\({TS}_{t-1}^{US}\) | Daily Lagged Term Spread | Difference between 10-Year Treasury Bond Rate and 3-Month Treasury Bill Rate | 01/01/2019–06/30/2020 | Federal Reserve Bank of St. Louis |
\({DS}_{t-1}^{US}\) | Daily Lagged Default Spread | Difference between Moody’s Seasoned Baa and Aaa Corporate Bond Yields | 01/01/2019–06/30/2020 | Federal Reserve Bank of St. Louis |
\({CVIX}_{t-1}^{US}\) | Daily Lagged Change in Chicago Board of Options Exchange (COBE) Volatility Index (VIX) | \(log ({VIX}_{t}^{US}/{VIX}_{t-1}^{US})\) | 01/01/2019–06/30/2020 | |
\({CTV}_{t-1}^{S\&P 500}\) | Daily Lagged Change in S&P500 Trading Volume | \(log ({CTV}_{t}^{S\&P500}/{CTV}_{t-1}^{S\&P500})\) | 01/01/2019–06/30/2020 | Yahoo Finance |
\({CTV}_{t-1}^{DJIA}\) | Daily Lagged Change in DJIA Trading Volume | \(log ({CTV}_{t}^{DJIA}/{CTV}_{t-1}^{DJIA})\) | 01/01/2019–06/30/2020 | Yahoo Finance |
\({R}_{t-1}^{S\&P 500}\) | Daily Lagged Standard and Poor’s 500 (S&P 500) Stock Index Return | \(log ({PI}_{t-1}^{S\&P500}/{PI}_{t-2}^{S\&P500})\) | 01/01/2019–06/30/2020 | Yahoo Finance |
\({R}_{t-1}^{DJIA}\) | Daily Dow Jones Industrial Average (DJIA) Stock Index Return | \(log ({PI}_{t-1}^{DJIA}/{PI}_{t-2}^{DJIA})\) | 01/01/2019–06/30/2020 | Yahoo Finance |