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Table 11 Country quantile regression model results for volatility

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

Dependent variable: LVOL
  Argentina Australia Brazil Canada China
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 0.023 0.001 0.045*** − 0.001 − 0.004 − 0.001 0.045*** − 0.014*** 0.022 − 0.002
0.2 0.019 0.002 0.036*** − 0.002 − 0.007 − 0.002 0.049*** − 0.01 0.021 − 0.001
0.3 0.024 0.001 0.032*** − 0.002 0.002 − 0.003 0.054*** − 0.005 0.035*** − 0.003
0.4 0.021 − 0.001 0.029** − 0.001 0.001 0.002 0.055*** − 0.003 0.027** − 0.002
0.5 0.027* − 0.002 0.034*** − 0.002 0.013 0.002 0.044*** − 0.005 0.027** − 0.001
0.6 0.026* − 0.001 0.034*** − 0.003 0.021 0.001 0.044*** − 0.004 0.021* 0.002
0.7 0.022 0.003 0.032*** − 0.004 0.031 00.01 0.035*** − 0.002 0.022* 0.002
0.8 0.019 0.001 0.034*** − 0.007** 0.029 − 0.001 0.037*** 0.001 0.011 0.002
0.9 0.01 0.002 0.028*** − 0.008*** 0.017 − 0.003 0.018 0.002 0.012 0.001
  France Germany India Indonesia Italy
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 0.035* − 0.01* 0.007 − 0.008 0.029*** − 0.001 0.04** 0.001 0.027 − 0.006
0.2 0.028*** − 0.01*** 0.004 − 0.01 0.031*** − 0.001 0.051*** − 0.002 0.015 − 0.006
0.3 0.034*** − 0.011*** 0.041** − 0.013*** 0.021*** − 0.002 0.026* 0.002 0.007 − 0.003
0.4 0.032*** − 0.008*** 0.044*** − 0.011*** 0.026*** − 0.003 0.025 0.001 0.003 − 0.006
0.5 0.029** − 0.008*** 0.038** − 0.011*** 0.024** − 0.003 0.024* − 0.002 0.011 − 0.002
0.6 0.025** − 0.008*** 0.039*** − 0.011*** 0.013 − 0.005* 0.025* − 0.003 0.023 − 0.006**
0.7 0.026*** − 0.008*** 0.042*** − 0.005 0.006 − 0.006** 0.03** − 0.005 0.047*** − 0.005*
0.8 0.029** − 0.01*** 0.039*** − 0.006* 0.026 − 0.005 0.04*** − 0.007* 0.051*** − 0.006**
0.9 0.047** − 0.01*** 0.016 − 0.008* 0.03 − 0.007* 0.037* − 0.006 0.037* − 0.003
  Japan Mexico Russia S. Africa S. Arabia
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 0.025*** − 0.005 0.027*** − 0.002 0.05*** 0.003 0.023 − 0.001 − 0.001 − 0.002
0.2 0.021*** − 0.002 0.025*** − 0.001 0.04** 0.002 0.020 − 0.001 0.012 0.001
0.3 0.015** − 0.001 0.018* − 0.002 0.03* 0.001 0.029** 0.002 0.015*** 0.003
0.4 0.013* − 0.001 0.009 − 0.004 0.032* − 0.001 0.023** − 0.001 0.013** 0.002
0.5 0.012* 0.001 0.012 − 0.004 0.037** 0.002 0.019* − 0.002 0.016** 0.002
0.6 0.009 0.002 0.016 − 0.004 0.034** 0.001 0.024** − 0.005* 0.01* 0.003
0.7 0.01 0.004 0.016 − 0.003 0.027 0.001 0.019* − 0.006* 0.007 0.002
0.8 0.003 0.003 0.021 − 0.003 0.061 − 0.001 0.012 − 0.007** 0.013 0.003
0.9 0.022 − 0.002 0.017 − 0.005** 0.068 − 0.001 0.013 − 0.006*** 0.008 0.002
  S. Korea Turkey UK US
  COV-19 VAC COV-19 VAC COV-19 VAC COV-19 VAC
0.1 0.013*** 0.01** 0.005 0.004 0.049*** − 0.003 − 0.019 − 0.009
0.2 0.014*** 0.007 0.02 0.001 0.029** − 0.007** 0.013 − 0.006
0.3 0.013*** 0.006 − 0.01 0.001 0.027** − 0.003 0.037 − 0.005
0.4 0.012*** 0.006 0.01 − 0.001 0.02 − 0.004 0.031 − 0.002
0.5 0.011*** 0.005 0.009 − 0.001 0.036** − 0.006 0.027 − 0.001
0.6 0.01** 0.005 0.002 − 0.002 0.039** − 0.005 0.042** 0.001
0.7 0.009** 0.006** − 0.001 − 0.003 0.037** − 0.005 0.031** − 0.001
0.8 0.03 0.004 − 0.001 − 0.003 0.04** − 0.006 0.036*** − 0.003
0.9 0.039* 0.002 0.01 0.004 0.021 − 0.01*** 0.035 − 0.003
  1. ***, **, and * indicate statistically significant coefficients at the 1%, 5%, and 10% levels, respectively.