COVID-19 and instability of stock market performance: evidence from the U.S.

Financial Innovation

Table 3 Correlation Matrix: 01/01/2019–06/30/2020

Variable	\({R}_{t}^{S\&P 500}\)	\({SI}_{t-1}^{US}\)	\({TS}_{t-1}^{US}\)	\({DS}_{t-1}^{US}\)	\({CVIX}_{t-1}^{US}\)	\({CTV}_{t-1}^{S\&P 500}\)	\({R}_{t-1}^{S\&P 500}\)
Panel A. S&P 500
\({R}_{t}^{S\&P 500}\)	1.000	0.0018 (0.9725)	− 0.0134 (0.7962)	0.1100 (0.0330**)	0.1641 (0.0014***)	0.0001 (0.9980)	− 0.3397 (0.0000***)
\({SI}_{t-1}^{US}\)		1.0000	− 0.6905 (0.0000***)	− 0.5926 (0.0000***)	− 0.0021 (0.9677)	0.0103 (0.8427)	0.0136 (0.7930)
\({TS}_{t-1}^{US}\)			1.0000	0.6319 (0.0000***)	− 0.0800 (0.1216)	− 0.0206 (0.6907)	0.0761 (0.1408)
\({DS}_{t-1}^{US}\)				1.0000	− 0.1201 (0.0198**)	− 0.0337 (0.5146)	0.1316 (0.0106**)
\({CVIX}_{t-1}^{US}\)			−		1.0000	0.2235 (0.0000***)	− 0.7099 (0.0000***)
\({CTV}_{t-1}^{S\&P 500}\)						1.0000	− 0.1041 (0.0437**)
\({R}_{t-1}^{S\&P 500}\)							1.0000

Variable	\({R}_{t}^{DJIA}\)	\({SI}_{t-1}^{US}\)	\({TS}_{t-1}^{US}\)	\({DS}_{t-1}^{US}\)	\({CVIX}_{t-1}^{US}\)	\({CTV}_{t-1}^{DJIA}\)	\({R}_{t-1}^{DJIA}\)
Panel B. DJIA
\({R}_{t}^{DJIA}\)	1.0000	0.0049 (0.9248)	− 0.0170 (0.7428)	0.1062 (0.0395**)	0.1593 (0.0019***)	0.0181 (0.7271)	− 0.3123 (0.0000***)
\({SI}_{t-1}^{US}\)		1.0000	− 0.6905 (0.0000***)	− 0.5926 (0.0000***)	− 0.0021 (0.9677)	0.0085 (0.8691)	0.0144 (0.7802)
\({TS}_{t-1}^{US}\)			1.0000	0.6319 (0.0000***)	− 0.0800 (0.1216)	− 0.0206 (0.6907)	0.0718 (0.1605)
\({DS}_{t-1}^{US}\)				1.0000	− 0.1201 (0.0198**)	− 0.0395 (0.4454)	0.1291 (0.0123**)
\({CVIX}_{t-1}^{US}\)					1.0000	0.2608 (0.0000***)	− 0.6809 (0.0000***)
\({CTV}_{t-1}^{DJIA}\)						1.0000	− 0.1331 (0.0098***)
\({R}_{t-1}^{DJIA}\)							1.0000

Table 3 reports the pairwise Pearson correlations between all variables over the period from January 1st, 2019 to June 30th, 2020. P values are provided in the parentheses
** and ***indicate significance at the 5% and 1% levels, respectively