Investor sentiments and stock markets during the COVID-19 pandemic

Financial Innovation

Table 12 Country regression model results

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***

^***, **, and * indicate statistically significant coefficients at 1%, 5% and 10% significance level, respectively