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Table 10 Country quantile regression results for stock returns

From: Investor sentiments and stock markets during the COVID-19 pandemic

Dependent variable: CAR
  Argentina Australia Brazil Canada China
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 − 0.408 0.065*** − 0.135*** − 0.003 − 0.092 0.029 − 0.244*** 0.054* 0.038 − 0.002
0.2 − 0.423 0.048* − 0.138*** − 0.001 − 0.056 0.044 − 0.222*** 0.047* − 0.068 − 0.003
0.3 − 0.031 0.04* − 0.101 0.002 0.017 0.03 − 0.183* 0.019 0.056 − 0.008
0.4 − 0.047 0.025 − 0.046 0.001 0.086 0.021 − 0.187* 0.023 0.078 − 0.01
0.5 0.06 0.015 − 0.085*** − 0.007 0.015 0.002 − 0.165** 0.012 0.047 − 0.011
0.6 0.184 0.001 − 0.091*** 0.003 − 0.035 − 0.01 − 0.137 0.005 0.08 − 0.008
0.7 0.133 − 0.004 − 0.096*** − 0.006 0.052 − 0.013 − 0.07 − 0.008 0.026 − 0.001
0.8 0.069 − 0.011 − 0.086* − 0.023* − 0.097 − 0.007 − 0.086 − 0.011 0.045 − 0.003
0.9 − 0.112 − 0.059* − 0.016 0.02 − 0.376 0.027 0.022 0.017 0.083 − 0.009
  France Germany India Indonesia Italy
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 − 0.252 0.028*** − 0.196*** 0.027** − 0.029 0.013 − 0.07 − 0.004 − 0.364*** 0.006
0.2 − 0.125* 0.018 − 0.209*** 0.025* − 0.014 0.017 − 0.026 − 0.004 − 0.264*** 0.021*
0.3 − 0.122 0.018 − 0.156** 0.014 − 0.022 0.01 − 0.049 − 0.001 − 0.24** 0.014
0.4 − 0.096** 0.009 − 0.161** 0.013 − 0.01 0.004 − 0.062 0.004 − 0.205** 0.006
0.5 − 0.114** 0.007 − 0.103 0.004 0.032 0.003 − 0.093 − 0.001 − 0.206** 0.001
0.6 − 0.077 0.006 − 0.063 0.005 0.043 0.001 − 0.107** 0.002 − 0.272* − 0.001
0.7 − 0.082 0.004 − 0.165 0.001 0.062* − 0.001 − 0.011 − 0.003 − 0.288** 0.002
0.8 0.097 − 0.006 − 0.124 − 0.001 0.067** − 0.006 0.014 − 0.003 − 0.308** 0.004
0.9 − 0.092 − 0.01 − 0.162 − 0.009 0.089 0.023 − 0.004 0.006 − 0.169 0.014
  Japan Mexico Russia S. Africa S. Arabia
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 − 0.015 − 0.003 − 0.061 0.007 − 0.249 − 0.006 − 0.106 0.031 − 0.026 0.015*
0.2 − 0.02 − 0.003 − 0.056 0.005 − 0.315 0.018 − 0.081 0.016 − 0.04 0.004
0.3 − 0.008 − 0.008 − 0.082 0.007 − 0.195 0.013 − 0.094 0.018 − 0.024 0.009
0.4 0.003 − 0.009 − 0.138 − 0.001 − 0.147 − 0.012 − 0.051 0.021 − 0.037 0.007
0.5 − 0.002 − 0.009 − 0.197* − 0.01 − 0.203 − 0.008 − 0.059 0.026 − 0.019 0.003
0.6 0.022 − 0.014* − 0.187 − 0.007 − 0.229 − 0.01 − 0.109 0.009 0.062 0.005
0.7 0.013 − 0.012 − 0.171 − 0.011 − 0.233 − 0.007 − 0.094 0.013 0.056 0.002
0.8 0.025 − 0.017** − 0.062 − 0.01 − 0.309 − 0.017 − 0.076 − 0.01 0.043 − 0.001
0.9 0.068* − 0.016** − 0.107** − 0.015 − 0.201 0.011 − 0.052 0.009 0.037 − 0.001
  S. Korea Turkey UK US
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 − 0.029 0.004 − 0.182 − 0.001 − 0.196*** 0.019 − 0.067 − 0.019
0.2 − 0.045* 0.006 0.017 0.004 − 0.183*** 0.006 − 0.207* 0.001
0.3 − 0.045* 0.004 − 0.03 0.002 − 0.143 0.001 − 0.219** 0.006
0.4 − 0.013 0.017 − 0.096 − 0.011 − 0.117 0.008 − 0.273*** 0.015
0.5 0.008 0.011 − 0.084 − 0.02 − 0.094 0.001 − 0.257*** 0.014
0.6 0.004 0.009 − 0.083 − 0.022 0.051 − 0.011 − 0.321*** 0.009
0.7 0.01 0.003 0.065 − 0.017 0.042 − 0.014 − 0.242* 0.021
0.8 0.009 0.002 0.05 − 0.021 0.064 − 0.015 − 0.21* − 0.003
0.9 − 0.009 0.002 0.011 − 0.016 0.069 − 0.006 − 0.233** − 0.011
  1. ***, **, and * indicate statistically significant coefficients at the 1%, 5%, and 10% levels, respectively.