The impact of the COVID-19 outbreak on Chinese-listed tourism stocks

Financial Innovation

Table 4 Panel regression results of the growth in COVID-19 confirmed cases and abnormal returns

Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)
Variable	AR	AR	AR	AR	AR	AR	AR
Con	0.01062*** (3.31)	0.06563*** (2.69)	0.00527 (0.66)	− 0.00707* (− 1.82)	− 0.00250 (− 0.76)	0.00336 (0.63)	0.00536 (0.51)
GRI	− 0.00011** (− 2.40)	− 0.00014** (− 2.14)	− 0.00042*** (− 3.66)	− 0.00002 (− 0.28)	0.00006 (1.30)	0.00016** (2.14)	0.00044*** (2.90)
COVID-19	− 0.03794*** (− 9.67)	− 0.03891*** (− 6.60)	− 0.06745*** (− 6.24)	− 0.02006*** (− 3.83)	− 0.00888** (− 1.99)	− 0.00701 (− 0.97)	− 0.00035 (− 0.02)
Log(macp)	− 0.00041 (− 1.39)	− 0.01314** (− 2.32)	0.00042 (0.67)	− 0.00050* (− 1.65)	− 0.00046* (− 1.80)	− 0.00066 (− 1.57)	− 0.00128 (− 1.55)
PB	0.00003*** (9.51)	− 0.00002 (− 0.13)	0.00001 (0.47)	0.00001 (0.89)	0.00002** (1.98)	0.00009*** (4.53)	0.00006 (1.57)
Adj./Pseudo R²	0.0233	0.0258	0.0205	0.0076	0.0068	0.0135	0.0250
N	3312	3312	3312	3312	3312	3312	3312

t statistics in parentheses. *p < 0.1; **p < 0.05, and ***p < 0.01. AR denotes the abnormal returns. GRI is the government response index obtained from Oxford COVID-19 Government Response Tracker. COVID-19 represents the daily growth rate of COVID-19 confirmed cases calculated as \(\left(\left({Case}_{t}-{Case}_{t-1}\right)/{Case}_{t-1}\right)\). Logmacp is the logarithm of market capitalization. PB represents the price-to-book ratio. Columns (1) and (2) show the results of pooled OLS and fixed-effects, respectively. Columns (3)–(7) represent the quantile regression results with five quantiles q = {0.1; 0.25; 0.5; 0.75, 0.9}