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

Financial Innovation

Table 5 The results of the robustness tests

Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)
Variable	AR	AR	AR	AR	AR	AR	AR
Con	0.00775*** (3.33)	0.06022** (2.52)	− 0.00654 (− 1.21)	− 0.00743*** (− 2.69)	− 0.00114 (− 0.49)	0.00604 (1.59)	0.01545** (2.09)
SI	− 0.00005** (− 2.20)	− 0.00007* (− 1.91)	− 0.00021*** (− 3.44)	− 0.00001 (− 0.29)	0.00004 (1.33)	0.00011** (2.46)	0.00025*** (2.92)
COVID-19	− 0.03536*** (− 10.20)	− 0.03567*** (− 7.05)	− 0.05426*** (− 6.16)	− 0.01985*** (− 4.41)	− 0.00976** (− 2.55)	− 0.00795 (− 1.28)	− 0.01005 (− 0.84)
Log(macp)	− 0.00040 (− 1.39)	− 0.01272** (− 2.25)	0.00053 (0.89)	− 0.00048 (− 1.59)	− 0.00048* (− 1.86)	− 0.00071* (− 1.70)	− 0.00133 (− 1.64)
PB	0.00003*** (9.51)	− 0.00002 (− 0.14)	0.00002 (0.56)	0.00001 (0.88)	0.00002** (1.98)	0.00009*** (4.55)	0.00006 (1.58)
Adj./Pseudo R²	0.0231	0.0255	0.0195	0.0076	0.0068	0.0136	0.0247
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. SI is the government response stringency 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}