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Table 12 Country regression model results

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

Countries Constant COV-19 VAC CASES FX GOLD BOND R2 F-stat
Dependent variable: CAR
Argentina 75.538* − 0.091 0.014 3.159 1.085 − 0.705 − 19.909* 0.084 0.865
Australia 3.622** − 0.098*** − 0.004 − 0.487 1.344*** 0.201 − 0.864 0.372 5.548***
Brazil − 6.616 − 0.062 0.010 − 1.508 1.760* − 1.557* 0.671 0.178 2.030*
Canada 2.871 − 0.144*** 0.016 2.995 4.698*** − 0.191 1.204 0.439 7.322***
China − 7.245 0.007 − 0.007 0.536 0.648 − 0.318 2.410 0.080 0.815
France 1.688 − 0.096** 0.003 − 0.208 1.966** − 0.356 1.736 0.241 2.973**
Germany 5.198 − 0.150** 0.004 4.035* 1.538** − 0.086 5.144 0.258 3.247***
India − 14.396 0.043 0.007 − 7.949*** 0.177 − 0.328 2.328 0.272 3.487***
Indonesia − 1.235 − 0.029 − 0.002 − 1.029 − 0.472 − 0.354 0.260 0.276 3.560***
Italy 2.620 − 0.215*** 0.003 3.614 2.444** − 0.355 1.382 0.277 3.578***
Japan − 0.274 0.018 − 0.010* − 2.968* − 1.528*** 0.049 18.048 0.311 4.231***
Mexico − 6.035 − 0.113*** − 0.006 − 1.921 1.204*** − 0.398 1.555 0.330 4.615***
Russia 9.880 − 0.347** − 0.005 14.188 0.150 − 0.284 − 0.989 0.197 2.291**
S. Africa − 10.091 − 0.074 0.001 − 0.789 0.728 − 0.470 1.177 0.112 1.187
S. Arabia − 0.941 0.027 0.006* − 2.755 − 2.570 − 0.775** −  0.187 2.623**
S. Korea 2.406 − 0.018 0.003 − 0.272 − 0.789** − 0.082 − 1.674 0.152 1.684
Turkey − 7.898 − 0.045 − 0.016 − 0.511 − 0.413 − 1.012*** 0.735 0.514 9.887***
UK 0.897 − 0.093** − 0.001 0.450 1.685*** − 0.140 2.943 0.256 3.214***
US 4.295** − 0.213*** 0.002 3.456* 6.738*** 0.431 − 0.458 0.614 17.481***
Dependent variable: LVOL
Argentina 10.516** 0.023*** 0.001 0.501* 0.360 − 0.017 − 2.120* 0.314 4.288***
Australia 1.149** 0.032*** − 0.004* − 0.101 0.003 − 0.017 0.505 0.512 9.739***
Brazil 4.789*** 0.007 − 0.001 1.718*** − 0.028 0.009 − 0.263 0.620 15.255***
Canada 0.362 0.043*** − 0.005 − 0.729 0.057 0.018 − 0.001 0.605 14.342***
China − 0.689 0.024*** − 0.001 − 0.225** 0.413* 0.030 0.785 0.229 2.787**
France 2.110*** 0.031*** − 0.009*** − 0.073 0.045 − 0.024 2.257*** 0.570 12.392***
Germany 2.678*** 0.035** − 0.008*** − 0.145 0.079 0.049 2.080 0.377 5.654***
India − 3.391 0.022*** − 0.003** 1.235* − 0.073 − 0.059 0.791 0.608 14.483***
Indonesia 1.319 0.027*** − 0.001 0.498 − 0.099 0.019 0.050 0.480 8.633***
Italy 0.485 0.027** − 0.004* 0.417 − 0.012 − 0.052 1.224*** 0.591 13.495***
Japan 1.064*** 0.012*** 0.001 0.545 − 0.008 − 0.037 − 2.210 0.203 2.382**
Mexico 0.470 0.014** − 0.003** 0.371 0.016 − 0.005 0.300 0.535 10.760***
Russia 1.778 0.039*** 0.001 0.014 0.140*** − 0.083* 0.017 0.536 10.798***
S. Africa 0.031 0.018** − 0.002 0.305** 0.016 0.016 0.247 0.570 12.387***
S. Arabia 0.347 0.010** 0.001 1.871*** − 6.647* − 0.147*** −  0.491 11.034***
S. Korea 3.047*** 0.015*** 0.003 − 0.584** 0.183 − 0.080* − 0.862* 0.308 4.164***
Turkey 0.965 0.006 − 0.001 0.550*** 0.114 − 0.082 0.108 0.316 4.317***
UK 1.598*** 0.034*** − 0.005*** 0.013 − 0.022 − 0.009 − 0.153 0.477 8.515***
US 1.021 0.029* − 0.004 0.636 0.126 0.039 0.182 0.477 10.455***
  1. ***, **, and * indicate statistically significant coefficients at 1%, 5% and 10% significance level, respectively