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Table 13 Country quantile regression model results

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

  Quantiles
Dependent variable: CAR
Argentina 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 191.522*** 172.901** 93.394 86.469 52.564 3.035 − 9.103 11.234 68.382
COV-19 − 0.408 − 0.423 − 0.031 − 0.047 0.06 0.184 0.133 0.069 − 0.112
VAC 0.065*** 0.048* 0.04* 0.025 0.015 0.001 − 0.004 − 0.011 − 0.059*
CASES 3.121 11.563 2.281 3.858 0.37 − 4.981 − 4.529 − 1.84 − 2.314
FX 0.77 3.41 3.101 0.416 − 0.461 − 1.713 − 0.711 2.122 0.363
GOLD 0.369 − 0.482 − 0.406 − 0.439 − 0.189 − 0.204 − 0.52 0.054 − 1.178
BOND − 51.81*** − 46.25** − 26.679 − 23.649 − 14.691 − 1.105 2.623 − 2.328 − 13.093
Australia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 1.44 − 0.06 0.497 − 0.199 4.019 6.071* 4.504 4.981 10.888
COV-19 − 0.135*** − 0.138*** − 0.101 − 0.046 − 0.085*** − 0.091*** − 0.096*** − 0.086* − 0.016
VAC − 0.003 − 0.001 0.002 0.001 − 0.007 0.003 − 0.006 − 0.023* 0.02
CASES 0.339 0.333 − 0.279 − 0.5 − 0.058 0.531 1.166 0.133 − 0.191
FX 0.7*** 0.737*** 1.345 1.241** 1.898*** 1.856*** 1.522** 1.145 1.799
GOLD 0.14 0.036 0.091 0.08 0.115 0.18 0.237 0.62* − 0.171
BOND 0.961 0.12 − 0.733 − 0.38 − 1.294 − 3.346 − 0.249 2.084 − 6.504
Brazil 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 24.72 − 5.049 − 11.433 − 10.65 − 16.407 − 5.821 − 1.527 3.215 21.897
COV-19 − 0.092 − 0.056 0.017 0.086 0.015 − 0.035 0.052 − 0.097 − 0.376
VAC 0.029 0.044 0.03 0.021 0.002 − 0.01 − 0.013 − 0.007 0.027
CASES − 1.798 − 8.055 − 10.72 − 4.964 − 3.486 − 2.112 − 3.212 3.083 17.554
FX 2.69*** 1.336 1.647 1.244 1.053 0.505 0.32 0.21 2.375
GOLD − 2.045*** − 1.478 − 1.633 − 1.214 − 1.033 − 0.933 − 0.789 − 0.48 − 0.616
BOND 1.118 − 1.042 0.17 0.271 1.865 1.22 0.661 0.663 − 1.186
Canada 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 4.385 3.077 1.414 2.157 3.731 3.328 1.547 2.835 3.288
COV-19 − 0.244*** − 0.222*** − 0.183* − 0.187* − 0.165** − 0.137 − 0.07 − 0.086 0.022
VAC 0.054* 0.047* 0.019 0.023 0.012 0.005 − 0.008 − 0.011 0.017
CASES 7.135 3.552 1.79 3.841 0.137 − 0.08 1.581 1.187 2.445
FX 5.959*** 5.598*** 4.411*** 4.502*** 4.035*** 5.183** 4.876** 5.27*** 5.712***
GOLD 0.316 − 0.359 − 0.036 − 0.251 − 0.036 − 0.148 − 0.106 0.126 − 0.334
BOND − 7.083 − 3.398 0.97 1.421 1.77 2.692 5.494 7.202 1.436
China 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 34.813* − 6.303 − 15.386 − 15.3 − 8.52 − 12.213 6.356 − 0.491 − 14.671
COV-19 0.038 − 0.068 0.056 0.078 0.047 0.08 0.026 0.045 0.083
VAC − 0.002 − 0.003 − 0.008 − 0.01 − 0.011 − 0.008 − 0.001 − 0.003 − 0.009
CASES − 2.611 − 0.952 − 0.017 0.595 0.349 0.097 1.083 0.995 0.858
FX 1.592 − 0.399 − 0.228 − 1.077 − 0.927 − 0.922 0.025 1.403 2.029
GOLD − 0.108 − 0.106 − 0.148 − 0.073 − 0.092 0.001 − 0.093 − 0.297 0.323
BOND 9.327 1.432 4.256 4.552 2.68 3.766 − 1.814 0.791 5.927
France 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 0.842 − 1.815 − 1.111 0.261 1.328 0.981 1.984 2.000 9.208**
COV-19 − 0.252 − 0.125* − 0.122 − 0.096** − 0.114** − 0.077 − 0.082 0.097 − 0.092
VAC 0.028*** 0.018 0.018 0.009 0.007 0.006 0.004 − 0.006 − 0.01
CASES 2.809 0.417 0.309 − 2.384* − 1.775 − 1.137 − 1.309 − 0.301 2.354
FX 0.443 0.663 0.931 1.178* 1.408* 1.47* 1.382* 1.951* 2.887***
GOLD − 0.104 − 0.443 − 0.267 − 0.243 − 0.09 − 0.094 − 0.387 − 0.368 − 0.794
BOND 4.287 3.195 2.79 0.265 − 1.66 − 1.03 0.385 6.793 5.043
Germany 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 2.246 − 0.316 2.209 2.971 2.881 1.825 7.051 7.688* 15.107**
COV-19 − 0.196*** − 0.209*** − 0.156** − 0.161** − 0.103 − 0.063 − 0.165 − 0.124 − 0.162
VAC 0.027** 0.025* 0.014 0.013 0.004 0.005 0.001 − 0.001 − 0.009
CASES 5.587* 5.873 1.514 1.644 1.071 1.688 4.538 6.791** 4.899**
FX 0.362 0.536 0.842 0.946 1.818** 1.428 1.631 1.833* 1.478**
GOLD − 0.06 − 0.003 − 0.026 0.004 0.227 0.271 0.21 0.019 − 1.204*
BOND − 0.716 1.302 4.232 5.091 1.424 0.998 2.849 4.416 11.314
India 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 67.846* − 28.661 − 38.402 − 17.934 − 33.535 − 12.096 − 17.601 2.247 76.611
COV-19 − 0.029 − 0.014 − 0.022 − 0.01 0.032 0.043 0.062* 0.067** 0.089
VAC 0.013 0.017 0.01 0.004 0.003 0.001 − 0.001 − 0.006 0.023
CASES − 7.492** − 6.463** − 5.248** − 4.251 − 7.555* − 6.155 − 6.981* − 7.799* − 7.002
FX − 1.057 − 0.665 − 0.045 − 0.259 0.270 − 0.259 0.037 0.021 0.475
GOLD − 0.314 − 0.169 0.022 0.091 − 0.037 − 0.127 − 0.414 − 0.469 − 0.495
BOND 10.753 4.414 6.253 2.863 5.578 2.047 3.062 − 0.055 − 12.246
Indonesia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 10.971 3.297 − 2.204 − 5.358 − 13.429 − 14.247 − 6.952 − 6.321 − 7.409
COV-19 − 0.07 − 0.026 − 0.049 − 0.062 − 0.093 − 0.107** − 0.011 0.014 − 0.004
VAC − 0.004 − 0.004 − 0.001 0.004 − 0.001 0.002 − 0.003 − 0.003 0.006
CASES 0.87 − 0.124 0.35 0.62 1.195 1.354 − 2.345 − 3.625 − 2.244
FX 0.134 − 0.567** − 0.586* − 0.599* − 0.718** − 0.596** − 0.237 − 0.458 − 0.744
GOLD − 0.518* − 0.428 − 0.336 − 0.281 − 0.112 − 0.046 − 0.031 − 0.41 − 0.518**
BOND − 1.92 − 0.735 0.203 0.731 2.201 2.402 1.237 1.279 1.599
Italy 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 0.764 0.66 1.263 2.326 2.994 3.883 4.417 5.506 2.434
COV-19 − 0.364*** − 0.264*** − 0.24** − 0.205** − 0.206** − 0.272* − 0.288** − 0.308** − 0.169
VAC 0.006 0.021* 0.014 0.006 0.001 − 0.001 0.002 0.004 0.014
CASES 5.03* 2.836 1.383 − 2.08 − 1.936 2.282 5.007 9.506* 8.876
FX 0.79 1.051 0.979 1.791* 2.679*** 2.819*** 2.656*** 3.123*** 3.366***
GOLD − 0.873** − 0.452 − 0.304 − 0.013 0.169 0.016 − 0.044 − 0.904 − 0.913
BOND 0.891 − 0.102 − 0.155 − 0.354 0.875 2.735 3.494 5.426 6.763**
Japan 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 1.892 − 0.708 − 0.27 − 0.176 0.742 0.946 1.637 1.704 0.939
COV-19 − 0.015 − 0.02 − 0.008 0.003 − 0.002 0.022 0.013 0.025 0.068*
VAC − 0.003 − 0.003 − 0.008 − 0.009 − 0.009 − 0.014* − 0.012 − 0.017** − 0.016**
CASES − 2.76* − 3.404*** − 2.474 − 2.609 − 1.732 − 1.433 − 0.908 − 0.634 − 1.651
FX − 2.164** − 1.289* − 1.407** − 1.335* − 0.958* − 0.737 − 0.878* − 0.851** − 1.38***
GOLD − 0.176 0.068 − 0.04 − 0.067 − 0.053 − 0.073 − 0.107 − 0.039 − 0.073
BOND 8.181 6.004 14.968 12.434 4.913 11.452 5.236 14.628 16.771
Mexico 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 20.84 − 15.449 − 7.088 − 5.909 − 5.076 1.009 4.438 9.99 6.389
COV-19 − 0.061 − 0.056 − 0.082 − 0.138 − 0.197* − 0.187 − 0.171 − 0.062 − 0.107**
VAC 0.007 0.005 0.007 − 0.001 − 0.01 − 0.007 − 0.011 − 0.01 − 0.015
CASES − 5.428 − 6.691 − 3.264 − 0.971 2.112 3.318 1.208 − 1.571 − 2.646
FX 1.391*** 1.185*** 1.181*** 1.006** 0.889 0.763 1.016* 0.937 1.018
GOLD − 0.911** − 0.892* − 0.617 − 0.225 0.023 − 0.085 − 0.093 − 0.369 − 0.144
BOND 2.877 2.157 1.033 1.387 1.756 0.834 0.472 − 0.63 0.546
Russia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 12.453 − 4.149 − 2.676 − 6.649 1.659 6.681 6.938 14.407 23.197
COV-19 − 0.249 − 0.315 − 0.195 − 0.147 − 0.203 − 0.229 − 0.233 − 0.309 − 0.201
VAC − 0.006 0.018 0.013 − 0.012 − 0.008 − 0.01 − 0.007 − 0.017 0.011
CASES 4.055 8.17 1.741 − 1.373 2.328 5.233 14.203 11.443 18.752
FX − 0.189 − 0.199 − 0.108 0.229 − 0.078 0.264 − 0.248 0.524 0.203
GOLD − 0.197 − 0.062 − 0.166 − 0.334 − 0.306 − 0.636 − 0.423 − 0.027 0.515
BOND 1.393 0.084 − 0.086 1.333 0.182 − 0.331 − 0.265 − 0.765 − 2.606
S. Africa 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 41.746 5.033 − 2.045 − 17.162 − 42.841 − 34.029 − 34.468 − 10.362 − 4.74
COV-19 − 0.106 − 0.081 − 0.094 − 0.051 − 0.059 − 0.109 − 0.094 − 0.076 − 0.052
VAC 0.031 0.016 0.018 0.021 0.026 0.009 0.013 − 0.01 0.009
CASES − 2.163 0.18 − 0.354 − 1.167 − 1.024 − 0.126 0.765 1.747 − 5.187
FX 1.299** 0.905 0.451 0.362 − 0.033 0.12 − 0.077 0.229 1.288
GOLD − 0.864 − 0.694 − 0.577 − 0.671 − 0.175 0.105 0.244 0.216 0.358
BOND 3.629 − 1.021 − 0.03 1.545 4.405 3.883 3.936 1.693 1.434
S. Arabia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 4.372** − 1.87 − 1.959 − 0.599 − 0.026 − 0.258 0.415 2.16* 3.048**
COV-19 − 0.026 − 0.04 − 0.024 − 0.037 − 0.019 0.062 0.056 0.043 0.037
VAC 0.015* 0.004 0.009 0.007 0.003 0.005 0.002 − 0.001 − 0.001
CASES − 5.369 − 1.549 − 2.231 − 2.153 − 2.212 − 0.872 − 0.23 4.208 5.821
FX − 20.494 7.917 − 3.6 − 2.038 − 28.114 6.78 − 6.117 − 0.62 − 3.544
GOLD − 0.094 − 0.45 − 0.635** − 0.525 − 0.394 − 0.872** − 0.662 − 0.443 − 0.102
BOND
S. Korea 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 4.759 − 0.316 1.15 3.678 1.261 2.372 2.627 3.431 11.626**
COV-19 − 0.029 − 0.045* − 0.045* − 0.013 0.008 0.004 0.01 0.009 − 0.009
VAC 0.004 0.006 0.004 0.017 0.011 0.009 0.003 0.002 0.002
CASES − 0.519 − 1.203 − 0.008 − 0.928 − 0.727 − 0.585 1.247 0.966 − 1.039
FX − 0.797 − 1.146* − 1.246** − 0.451 − 0.938 − 1.141 − 1.067 − 1.313** − 0.774
GOLD 0.018 0.085 − 0.124 − 0.11 − 0.024 − 0.081 − 0.014 0.002 − 0.184
BOND 0.976 − 1.099 − 1.475 − 3.842 − 1.754 − 1.984 − 1.405 − 1.508 − 5.238*
Turkey 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 12.015 − 12.473 − 6.301 − 7.107 − 12.359 − 10.402 − 8.796 − 4.036 4.14
COV-19 − 0.182 0.017 − 0.03 − 0.096 − 0.084 − 0.083 0.065 0.05 0.011
VAC − 0.001 0.004 0.002 − 0.011 − 0.02 − 0.022 − 0.017 − 0.021 − 0.016
CASES 0.749 − 2.095 − 1.948 0.568 − 0.048 − 0.653 − 1.364 − 1.097 − 0.434
FX − 1.237* − 0.568 − 0.492 − 0.07 − 0.128 − 0.104 − 0.273 − 0.624 − 0.894
GOLD − 0.769 − 1.077*** − 1.034*** − 1.281*** − 1.217*** − 1.192** − 0.883 − 0.498 − 0.184
BOND 0.807 0.657 0.371 0.672 1.146 1.049 0.803 0.599 0.115
UK 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 3.26 − 1.183 − 0.697 − 0.802 0.524 − 1.609 0.18 2.134 3.6
COV-19 − 0.196*** − 0.183*** − 0.143 − 0.117 − 0.094 0.051 0.042 0.064 0.069
VAC 0.019 0.006 0.001 0.008 0.001 − 0.011 − 0.014 − 0.015 − 0.006
CASES 1.574 0.666 2.629 3.141 0.949 0.523 − 1.757 − 5.51 − 8.402*
FX 2.03** 1.528 1.067 1.408 1.48 1.212 1.42** 1.733*** 2.024***
GOLD 0.08 − 0.224 − 0.122 − 0.092 0.023 − 0.229 0.028 − 0.264 − 0.536
BOND 2.852 4.374 4.687 3.204 2.164 3.865 3.853 1.925 0.801
US 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 12.032** 0.07 0.749 6.193* 6.154* 8.686** 8.888* 10.221** 12.635***
COV-19 − 0.067 − 0.207* − 0.219** − 0.273*** − 0.257*** − 0.321*** − 0.242* − 0.21* − 0.233**
VAC − 0.019 0.001 0.006 0.015 0.014 0.009 0.021 − 0.003 − 0.011
CASES − 1.213 2.778 4.584 5.723* 5.255 7.124** 5.287 0.067 0.351
FX 6.899*** 5.937*** 6.547*** 7.053*** 6.565*** 6.598*** 6.058*** 7.9*** 7.634***
GOLD 0.264 0.527 0.335 0.39 0.174 0.202 0.374 0.572 0.418
BOND 7.879** 0.824 0.924 − 2.246 − 2.087 − 2.231 − 3.666 − 1.773 − 1.907
Dependent variable: LVOL
Argentina 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 13.219 12.991 10.776 10.494 7.177 3.632 7.439 15.032* 14.703*
COV-19 0.023 0.019 0.024 0.021 0.027* 0.026* 0.022 0.019 0.01
VAC 0.001 0.002 0.001 − 0.001 − 0.002 − 0.001 0.003 0.001 0.002
CASES 0.721 0.858 0.587 0.662 0.316 0.395 0.358 0.466 0.519
FX 1.461 1.051 0.117 − 0.101 − 0.308 − 0.079 0.447 0.41 0.664
GOLD − 0.118 − 0.066 0.009 0.024 0.02 − 0.003 − 0.022 0.023 0.042
BOND − 3.323 − 3.124 − 2.254 − 2.078 − 1.106 − 0.169 − 1.215 − 3.066 − 2.892
Australia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 0.875 0.644 1.533** 1.996*** 1.732*** 1.859*** 2.21*** 1.382* 1.739**
COV-19 0.045*** 0.036*** 0.032*** 0.029** 0.034*** 0.034*** 0.032*** 0.034*** 0.028***
VAC − 0.001 − 0.002 − 0.002 − 0.001 − 0.002 − 0.003 − 0.004 − 0.007** − 0.008***
CASES − 0.133 − 0.378 − 0.035 − 0.014 0.066 − 0.102 0.022 − 0.312 − 0.204
FX − 0.024 0.108 0.046 0.077 0.001 − 0.001 − 0.002 − 0.063 − 0.051
GOLD − 0.082 − 0.002 0.03 0.013 − 0.001 − 0.031 − 0.081 0.048 0.078
BOND 0.64 0.155 − 0.344 − 0.625 − 0.284 − 0.159 − 0.219 1.209 1.375*
Brazil 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 5.513*** 4.117** 4.687*** 5.162*** 5.544*** 5.627*** 6.145*** 4.632*** 3.432
COV-19 − 0.004 − 0.007 0.002 0.001 0.013 0.021 0.031 0.029 0.017
VAC − 0.001 − 0.002 − 0.003 0.002 0.002 0.001 0.001 − 0.001 − 0.003
CASES 2.64*** 2.34*** 1.88*** 2.25*** 2.046** 1.39* 1.021 0.857 0.712
FX − 0.121 − 0.085 − 0.063 − 0.029 0.035 0.023 0.004 − 0.033 − 0.03
GOLD 0.09** 0.025 0.02 − 0.01 − 0.038 − 0.024 − 0.011 0.002 0.01
BOND − 0.476* − 0.198 − 0.262 − 0.378 − 0.422 − 0.409 − 0.466 − 0.227 0.065
Canada 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 1.857** − 1.042 − 0.29 0.1 0.808 0.843 1.494*** 1.809*** 3.505***
COV-19 0.045*** 0.049*** 0.054*** 0.055*** 0.044*** 0.044*** 0.035*** 0.037*** 0.018
VAC − 0.014*** − 0.01 − 0.005 − 0.003 − 0.005 − 0.004 − 0.002 0.001 0.002
CASES − 0.114 − 0.893 − 1.751* − 2.077** − 1.348 − 1.096 − 0.346 − 0.097 0.858
FX − 0.222 − 0.043 0.07 0.116 0.109 0.113 0.026 − 0.141 − 0.029
GOLD − 0.036 − 0.004 0.003 − 0.023 − 0.035 − 0.046 − 0.002 0.026 − 0.036
BOND 1.877** 0.912 − 0.229 − 0.651 − 0.564 − 0.422 − 0.79 − 1.161 − 1.902**
China 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 1.211 − 0.877 − 4.122 − 0.958 − 1.07 0.165 − 0.041 0.543 0.456
COV-19 0.022 0.021 0.035*** 0.027** 0.027** 0.021* 0.022* 0.011 0.012
VAC − 0.002 − 0.001 − 0.003 − 0.002 − 0.001 0.002 0.002 0.002 0.001
CASES − 0.302* − 0.216 − 0.372** − 0.291 − 0.287 − 0.203 − 0.181 − 0.097 − 0.285
FX 0.287 0.312 0.518 0.534 0.468 0.537* 0.386 0.852*** 0.688**
GOLD 0.026 0.036 0.08 0.056 0.07 0.059 0.05 0.045 0.033
BOND 0.734 0.639 1.82* 0.847 0.891 0.519 0.635 0.627 0.8
France 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 1.113 1.823*** 1.751*** 1.949*** 2.179*** 2.413*** 2.584*** 2.905*** 2.596***
COV-19 0.035* 0.028*** 0.034*** 0.032*** 0.029** 0.025** 0.026*** 0.029** 0.047**
VAC − 0.01* − 0.01*** − 0.011*** − 0.008*** − 0.008*** − 0.008*** − 0.008*** − 0.01*** − 0.01***
CASES − 0.359 − 0.192 − 0.124 0.016 0.159 0.099 0.156 − 0.181 − 0.389
FX 0.021 0.147 0.061 0.012 0.005 0.153 − 0.017 − 0.086 − 0.123
GOLD 0.001 − 0.098 − 0.077 − 0.043 − 0.008 − 0.002 − 0.02 − 0.052 − 0.098
BOND 3.67 3.716*** 2.334* 2.692** 2.876** 2.11* 1.349 1.28 0.868
Germany 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 2.595 3.504** 3.12*** 2.667*** 3.045*** 2.698*** 1.495 2.109** 4.474**
COV-19 0.007 0.004 0.041** 0.044*** 0.038** 0.039*** 0.042*** 0.039*** 0.016
VAC − 0.008 − 0.01 − 0.013*** − 0.011*** − 0.011*** − 0.011*** − 0.005 − 0.006* − 0.008*
CASES 0.562 0.163 − 0.575 − 0.391 − 0.506 − 0.627 − 0.263 − 0.092 0.749
FX 0.449** 0.368* 0.08 0.022 0.073 0.124 0.037 − 0.048 − 0.001
GOLD 0.078 0.054 0.012 0.001 − 0.041 − 0.034 0.054 0.08 0.051
BOND 2.804 3.704 3.362** 2.527 2.544 1.612 − 0.874 − 0.265 2.332
India 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 3.21 6.086 2.15 5.464 4.136 − 3.653 − 9.138 − 17.155 − 20.861*
COV-19 0.029*** 0.031*** 0.021*** 0.026*** 0.024** 0.013 0.006 0.026 0.03
VAC − 0.001 − 0.001 − 0.002 − 0.003 − 0.003 − 0.005* − 0.006** − 0.005 − 0.007*
CASES 1.757*** 1.251 1.85*** 1.875** 1.918** 1.51 1.564 0.299 − 0.038
FX − 0.32*** − 0.25 − 0.288* − 0.207 − 0.23 − 0.134 − 0.082 0.131 0.085
GOLD − 0.044 − 0.081 − 0.069 − 0.048 − 0.038 − 0.048 − 0.043 0.015 − 0.033
BOND − 0.504 − 0.942 − 0.227 − 0.768 − 0.53 0.898 1.876 3.237 3.904**
Indonesia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 0.553 4.386 − 1.145 − 1.643 0.287 2.416 4.909 7.259** 8.818**
COV-19 0.04** 0.051*** 0.026* 0.025 0.024* 0.025* 0.03** 0.04*** 0.037*
VAC 0.001 − 0.002 0.002 0.001 − 0.002 − 0.003 − 0.005 − 0.007* − 0.006
CASES 0.616 0.062 0.313 0.167 0.185 − 0.016 − 0.161 − 0.374 0.313
FX − 0.111 − 0.095 − 0.033 0.019 − 0.004 0.034 0.011 − 0.084 − 0.142
GOLD 0.14 0.05 − 0.069 − 0.055 0.001 − 0.045 − 0.031 0.009 − 0.04
BOND 0.034 − 0.621 0.328 0.453 0.232 − 0.029 − 0.357 − 0.681 − 0.867
Italy 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 0.95 − 0.336 − 0.161 0.402 0.483 1.37** 1.213** 1.675*** 1.811***
COV-19 0.027 0.015 0.007 0.003 0.011 0.023 0.047*** 0.051*** 0.037*
VAC − 0.006 − 0.006 − 0.003 − 0.006 − 0.002 − 0.006** − 0.005* − 0.006** − 0.003
CASES 0.573 0.366 0.616 0.255 0.111 0.287 0.016 − 0.143 0.076
FX − 0.143 − 0.066 0.021 0.107 0.053 0.137 − 0.008 0.009 − 0.02
GOLD − 0.012 − 0.086 − 0.08 − 0.036 − 0.022 − 0.097 − 0.014 − 0.015 − 0.045
BOND 1.709*** 1.686*** 1.688*** 1.661*** 1.466*** 0.826 0.589 0.228 0.661
Japan 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 0.024 0.17 0.776* 1.068** 1.156*** 1.46*** 1.326*** 2.029*** 1.78***
COV-19 0.025*** 0.021*** 0.015** 0.013* 0.012* 0.009 0.01 0.003 0.022
VAC − 0.005 − 0.002 − 0.001 − 0.001 0.001 0.002 0.004 0.003 − 0.002
CASES − 0.018 0.277 0.386 0.35 0.348 0.288 0.302 1.037** 1.164*
FX − 0.012 − 0.051 0.031 − 0.004 − 0.014 − 0.004 0.008 − 0.043 − 0.044
GOLD − 0.141 − 0.079 0.032 0.034 0.025 − 0.013 − 0.014 − 0.106 − 0.058
BOND − 3.177 2.467 − 1.082 − 1.573 − 1.932 − 5.171 − 5.586 − 7.415 5.582
Mexico 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 2.214 3.231* 1.61 0.495 1.15 0.715 − 0.819 0.477 − 0.968
COV-19 0.027*** 0.025*** 0.018* 0.009 0.012 0.016 0.016 0.021 0.017
VAC − 0.002 − 0.001 − 0.002 − 0.004 − 0.004 − 0.004 − 0.003 − 0.003 − 0.005**
CASES 0.452 0.494 0.309 0.151 0.337 0.256 0.179 0.023 − 0.387
FX 0.062 0.04 0.055 0.049 − 0.001 − 0.021 0.054 0.069 0.004
GOLD − 0.059 − 0.007 − 0.022 0.01 − 0.032 − 0.04 − 0.077 − 0.081 0.045
BOND − 0.22 − 0.345 0.005 0.313 0.217 0.278 0.57* 0.352* 0.712*
Russia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 2.907 1.929 1.531 0.028 1.907 1.636 2.884 2.351 1.251
COV-19 0.05*** 0.04** 0.03* 0.032* 0.037** 0.034** 0.027 0.061 0.068
VAC 0.003 0.002 0.001 − 0.001 0.002 0.001 0.001 − 0.001 − 0.001
CASES 0.356 0.349 0.475 0.037 0.028 0.083 0.599 − 0.71 − 1.139
FX 0.221** 0.176** 0.127 0.131** 0.174*** 0.142** 0.127* 0.086 0.082
GOLD − 0.118* − 0.076 − 0.039 − 0.052 − 0.077 − 0.095 − 0.12* − 0.11 − 0.094
BOND − 0.379 − 0.128 0.028 0.317 − 0.018 0.067 − 0.081 0.014 0.191
S. Africa 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 1.141 0.331 1.825 0.703 0.913 3.478 2.587 − 0.205 0.145
COV-19 0.023 0.02 0.029** 0.023** 0.019* 0.024** 0.019* 0.012 0.013
VAC − 0.001 − 0.001 0.002 − 0.001 − 0.002 − 0.005* − 0.006* − 0.007** − 0.006***
CASES 0.094 0.386 0.203 0.284 0.333 0.221 0.413* 0.349 0.479
FX − 0.016 0.079 0.024 0.023 0.029 0.021 − 0.042 0.03 0.079
GOLD 0.031 0.016 0.004 − 0.028 − 0.016 0.003 0.081 0.022 − 0.01
BOND 0.276 0.131 − 0.046 0.137 0.145 − 0.094 0.037 0.376 0.352
S. Arabia 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 0.383 − 0.515 − 0.493 0.067 0.281 0.657* 0.969*** 1.089*** 1.575***
COV-19 − 0.001 0.012 0.015*** 0.013** 0.016** 0.01* 0.007 0.013 0.008
VAC − 0.002 0.001 0.003 0.002 0.002 0.003 0.002 0.003 0.002
CASES 1.919* 1.548*** 1.558*** 1.365*** 1.457*** 1.803** 2.022* 1.567* 2.048*
FX − 1.032 3.587 − 1.241 − 1.44 − 5.871 − 5.839 − 5.939 − 9.662* − 9.313*
GOLD − 0.175 − 0.173** − 0.149* − 0.175* − 0.194** − 0.137* − 0.102 − 0.151* − 0.222**
BOND
S. Korea 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 3.318*** 3.267*** 3.338*** 3.302*** 3.354*** 2.96*** 2.513** 2.075 3.663*
COV-19 0.013*** 0.014*** 0.013*** 0.012*** 0.011*** 0.01** 0.009** 0.03 0.039*
VAC 0.01** 0.007 0.006 0.006 0.005 0.005 0.006** 0.004 0.002
CASES − 1.313** − 0.858** − 0.574* − 0.531 − 0.497 − 0.613* − 0.578* 0.035 − 0.581
FX 0.356** 0.418** 0.376** 0.357* 0.351* 0.386** 0.358** 0.305 0.26
GOLD − 0.133*** − 0.14*** − 0.111** − 0.106* − 0.107* − 0.085 − 0.076 − 0.001 0.054
BOND − 1.888*** − 1.607** − 1.436** − 1.313* − 1.236 − 0.858 − 0.475 − 0.183 − 0.833
Turkey 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 1.795 − 0.572 1.734 0.692 1.017 1.299 1.752 2.405* 0.383
COV-19 0.005 0.02 − 0.01 0.01 0.009 0.002 − 0.001 − 0.001 0.01
VAC 0.004 0.001 0.001 − 0.001 − 0.001 − 0.002 − 0.003 − 0.003 0.004
CASES 0.349 0.158 0.498 0.459 0.575 0.876** 0.82** 0.714 0.387
FX 0.344 0.155 0.206 0.098 0.094 0.103 0.133* 0.092 0.043
GOLD − 0.204** − 0.231*** − 0.164 − 0.12 − 0.094 − 0.061 − 0.049 − 0.039 0.01
BOND − 0.047 0.155 0.049 0.116 0.107 0.111 0.102 0.071 0.202
UK 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant − 0.361 1.18** 1.495*** 1.894*** 1.723*** 1.725*** 1.869*** 1.987*** 2.762***
COV-19 0.049*** 0.029** 0.027** 0.02 0.036** 0.039** 0.037** 0.04** 0.021
VAC − 0.003 − 0.007** − 0.003 − 0.004 − 0.006 − 0.005 − 0.005 − 0.006 − 0.01***
CASES 0.235 − 0.026 0.212 0.344 − 0.341 − 0.139 0.133 − 0.172 0.358
FX − 0.118 0.02 0.102 0.073 0.118 − 0.034 − 0.114 − 0.12 − 0.078
GOLD 0.309* − 0.005 − 0.076 − 0.055 − 0.054 − 0.037 − 0.031 0.008 0.02
BOND − 0.164 0.082 − 0.856 − 0.632 − 0.173 0.013 0.071 0.426 1.227
US 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Constant 0.575 0.488 0.262 0.651 1.435 1.373* 2.224*** 2.049** 2.426*
COV-19 − 0.019 0.013 0.037 0.031 0.027 0.042** 0.031** 0.036*** 0.035
VAC − 0.009 − 0.006 − 0.005 − 0.002 − 0.001 0.001 − 0.001 − 0.003 − 0.003
CASES 3.11 1.671 0.588 0.607 0.879 0.188 0.321 0.049 − 0.074
FX 0.051 0.096 0.025 0.145 0.082 0.071 − 0.007 0.004 0.314
GOLD 0.121 0.109 0.023 0.03 0.064 0.044 − 0.036 0.008 0.07
BOND 0.618 0.391 0.279 − 0.018 − 0.523 − 0.623 − 0.73 − 0.28 − 0.111
  1. ***, **, and * indicate statistically significant coefficients at 1%, 5% and 10% significance level, respectively. The bold numbers show quantile levels