Table 1 Descriptive statistics
From: Has COVID-19 changed the stock return-oil price predictability pattern?
Variable | Mean | AR(1) | Maximum | Minimum | SD | Skewness | NP test | Prob of JB | No. of Obs |
|---|---|---|---|---|---|---|---|---|---|
Panel A: full sample 01/04/2010 to 03/17/2021 | |||||||||
 R | 0.04 | − 0.04 | 7.73 | − 11.15 | 1.3 | − 0.46 | − 1.01*** | 0 | 2923 |
 RV | 22.64 | 0.96 | 69.88 | 12.19 | 6.57 | 1.68 | − 0.03*** | 0 | 2923 |
 OIL($) | 69.21 | 0.99 | 113.93 | − 37.63 | 23.1 | 0.07 | − 0.01 | 0 | 2923 |
 GOP | − 0.09 | 0.28 | 35.02 | − 305.97 | 6.68 | − 34.84 | − 0.79*** | 0 | 2923 |
Panel B: pre-COVID-19 sample 1, 01/04/2010 to 12/30/2019 | |||||||||
 R | 0.03 | − 0.05 | 7.43 | − 11.15 | 1.27 | − 0.59 | − 1.09*** | 0 | 2606 |
 RV | 22.24 | 0.96 | 69.88 | 12.19 | 6.07 | 1.42 | − 0.05*** | 0 | 2606 |
 OIL($) | 72.45 | 1 | 113.93 | 26.21 | 21.95 | 0.03 | − 0.01 | 0 | 2606 |
 GOP | 0.01 | − 0.06 | 14.68 | − 10.17 | 2.08 | 0.27 | − 1.05*** | 0 | 2606 |
Panel C: COVID-19 Sample 12/31/2019 to 03/17/2021 | |||||||||
 R | 0.07 | 0.05 | 7.73 | − 6.27 | 1.51 | 0.13 | − 0.98*** | 0 | 317 |
 RV | 25.9 | 0.97 | 60.67 | 13.2 | 9.14 | 1.69 | − 0.07 | 0 | 317 |
 OIL($) | 42.55 | 0.94 | 66.09 | − 37.63 | 12.76 | − 1.01 | − 0.05 | 0 | 317 |
 GOP | − 0.96 | 0.31 | 35.02 | − 305.97 | 19.41 | − 13.1 | − 0.8*** | 0 | 317 |
Panel D: pre-COVID-19 sample 2, 10/01/2018 to 12/30//2019 | |||||||||
 R | − 0.01 | − 0.01 | 3.81 | − 5.14 | 1.03 | − 0.66 | − 0.81*** | 0 | 326 |
 RV | 18.42 | 0.97 | 32.25 | 12.98 | 3.8 | 1.2 | − 0.12 | 0 | 326 |
 OIL($) | 57.34 | 0.96 | 76.41 | 44.41 | 5.65 | 0.75 | − 0.04 | 0 | 326 |
 GOP | − 0.03 | − 0.07 | 14.68 | − 7.9 | 2.21 | 0.32 | − 1.06*** | 0 | 326 |